CBOE Mid-Day Update 11.18.14

Volatility as an asset class

Home Depot (HD) is recently down $1.73 to $96.30 after reporting in line Q3 EPS of $1.15 and mixed 2015 guidance. November call option implied volatility is at 19, December is at 18, January is at 16; compared to its 26-week average of 18.

Medtronic (MDT) is recently up $2.66 to $71.85 on Q3 revenue increasing 5% and backing FY15 EPS $4.00-$4.10. November call option implied volatility is at 21, December is at 20, January and February is at 17; compared to its 26-week average of 19.

Dick’s Sporting (DKS) is recently down $1.16 to 46.35 on the sporting goods retailer sees Q4 EPS $1.18-$1.28, compared to consensus $1.21. November call option implied volatility is at 36,
December is at 23, January is at 22, March is at 26; compared to its 26-week average of 27.

Active options at CBOE: AAPL POT AMZN PBR ABX MCD HD GILD C AA

Options with increasing volume @ CBOE: MCD RDSA IRBT NBS PLUG TEVA MOS JASO CTSH

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.26; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 50c to 13.49; November 13.5 and 16 calls active on 135K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 71c to 27.88

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 94c to 10.40; compared to its 10-day moving average of 11.66 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 4c to 262.86 compared to its 50-day moving average of 263.58 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up $3.14 to 909.72 on markets in Asia that were cheered by Japanese plans to hold off on another sales tax hike.