CBOE Mid-Day Update 11.21.14

Volatility as an asset class

Euro Currency Trust (FXE) is recently down $1.31 to $122.25 after Mario Draghi announced that the ECB is ready to expand its asset purchase programs. Overall option implied volatility of 8 is at its 26-week.

Foot Locker (FL) is recently down $1.50 to $55.49 after reporting Q3 EPS 83c, compared to consensus 79c and reports comparable-store sales increased 6.9%. December call option implied volatility is at 27, January is at 25, February is at 24; compared to its 26-week average of 27.

Ann Taylor (ANN) is recently down 25c to $38.09 after reporting Q3 EPS ex-items 72c, compared to consensus 68c. Reports Q3 revenue $646.8M, consensus $648.27M.  December call option implied volatility is at 27, January and March is at 29; compared to its 26-week average of 33.

Active options at CBOE: AAPL AMZN AMAT WLT KMI TSLA C NFLX PBR AA

Options with increasing volume @ CBOE: INSM FAST EWC PRGO NGL ERX BLOX PVG REGI

CBOE Volatility Index (VIX) is recently down 11c to 13.47; December 16, 19 and 23 calls active on 117K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 67c to 27.86

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1c to 10.90; compared to its 10-day moving average of 11.37 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) at 262.92 compared to its 50-day moving average of 263.27cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up $5.52 to 915.94 after China lowered