CBOE Mid-Day Update 11.17.14

Volatility as an asset class

iShares MSCI Japan Index Fund (EWJ) is recently down 20c to $11.58 as Japan slipped into recession. Overall option implied volatility of 20 compares to its 26-week average of 16.

American Express (AXP) is recently down 72c to $89.96 after reporting October net write-off rate 1.3% vs. 1.2% last month. November call option implied volatility is at 15, December is at 17, January is at 15; compared to its 26-week average of 19.

Celldex (CLDX) is recently up $4.80 to $19 after the company on Friday afternoon reported interim positive data for its brain tumor treatment, rindopepimut. November call option implied volatility is at 69, December is at 65, January is at 64; compared to its 26-week average of 73.

Active options at CBOE: AAPL BABA AMZN TWTR PBR GILD NFLX

Options with increasing volume @ CBOE: MMM SNSS URBN HD HTZ WB

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.58; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 88c to 14.19; November 16, 17 and 20 calls active on 145K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 6c to 28.60

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 54c to 11.90; compared to its 10-day moving average of 12.14 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 1c to 262.76 compared to its 50-day moving average of 263.72 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down $1.16 to 905.68 as the day’s headlines have been dominated by two M&A deals in the U.S. that total over $100B.