CBOE Mid-Day Update 11.14.14

Volatility as an asset class

Geron (GERN) is recently up 59c to $2.90 after announcing a global strategic collaboration with Janssen Biotech. November call option implied volatility is at 116, December is at 99, January is at 88, March is at 97; compared to its 26-week average of 106.

Harley-Davidson (HOG) is recently up 88c to $68.51 after Goldman Sachs upgraded the motorcycle company to Buy after its channel checks indicated U.S. retail sales accelerated in October. November and December call option implied volatility is at 20, February is at 21; compared to its 26-week average of 21.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) is recently up 52c to $59.13 as WTI Crude Oil trades near $75. November call option implied volatility is at 43, December is at 41; compared to its 26-week average of 29.

Active options at CBOE: AAPL BABA AMZN TWTR GILD AMAT PBR TSLA HTZ AA WMT

Options with increasing volume @ CBOE: GERN AKAM DB HLF HAL AIG

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.44; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 0.7% to 13.68; November 16 and 20 calls active on 175K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 50c to 29.07

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 2.5% to 11.67; compared to its 10-day moving average of 12.46 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 10c to 262.77 compared to its 50-day moving average of 263.87 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 22c to 906.64 as stocks trade at upper end of historic range.