CBOE Mid-Day Update 11.25.14

Volatility as an asset class

Chico’s FAS (CHS) is recently up 32c to $16.14 after the casual retailer reported Q3 gross margins increased 54%. December call option implied volatility is at 29, January is at 28, February is at 26; compared to its 26-week average of 35.

Hormel Foods (HRL) is recently down $2.19 to $51.94 after guiding 10% earnings growth in FY15, expects 5% sales growth and increased its dividend 25%. December call option implied volatility is at 26, January is at 24, March is at 23; compared to its 26-week average of 21.

Tiffany (TIF) is recently up $1.44 to $106.45 after reaffirming FY14 EPS view $4.20-$4.30 ex-items on expectations of robust sales growth. December call option implied volatility is at 21, January is at 24, February is at 21; compared to its 26-week average of 27.

Active options at CBOE: AAPL NFLX GILD PBR AMZN NFLX TWTR TSLA C CMCSA WMT

Options with increasing volume @ CBOE: CEO RNA NEON HOV BMRN DANG BEBE NES

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 22c to 5.11; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 6c to 12.56; December 19 and 23 calls active on total volume of 110K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 3c to 27.28

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 12c to 11.27; compared to its 10-day moving average of 11.28 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 16c to 262.18 compared to its 50-day moving average of 262.76 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 46c to 916.26 after confidence fell to