CBOE Mid-Day Update 11.19.14

Volatility as an asset class

Tesla Motors (TSLA) down $10.51 to $247.10 after Morgan Stanley took down estimates for the company, though they noted they remain buyers. November call option implied volatility is at 45, December is at 35, January is at 37; compared to its 26-week average of 46.

Staples (SPLS) is recently up $1 to $13.79 after results and sees closing up to 225 North American stores by end 2015. November call option implied volatility is at 48 December is at 29, January is at 25; compared to its 26-week average of 33

Blackberry (BBRY) recently down 56c to $10.21 after Morgan Stanley downgraded BlackBerry to Underweight from Equal Weight. The firm believes the market is too optimistic on new product ramps and in assuming the company will meet its FY16 $350M target in new software revenue. November call option implied volatility is at 67, December is at 65; compared to its 26-week average of 56.

Active options at CBOE: AAPL NFLX TWTR TSLA

Options with increasing volume @ CBOE: DGX PLD TSM PLCE ENDP IPI FOLD EDU CNC IGT CSTM

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 up 67c to 14.53; December 13, 14 and 15 puts active boe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 62c to 28.72

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 68c to 11.17; compared to its 10-day moving average of 11.61 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 18c to 262.91 compared to its 50-day moving average of 263.99 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 2.56 to 90.46 on mixed corporate results into release of Fed Minutes.