CBOE Mid-Day Update 11.26.14

Volatility as an asset class

Deere (DE) is recently down 75c to $87.08 after reporting stronger than expected Q4 results, analysts believe that the company’s guidance indicates that demand for large farm equipment will continue to drop in FY15.  December weekly call option implied volatility is at 14, December is at 15, January at 19, March is at 18; compared to its 26-week average of 18.

cboeApple (AAPL) is recently up 94c to $118.52 after trading at a record high of $119.10.  December weekly call option implied volatility is at 20, December and January is at 22; compared to its 26-week average of 24.

VIX methodology for Apple (VXAPL) -0.3% to 24.33, compared to its 50-day moving average of 25.30 cboe.com/VXAPL

Active options at CBOE: AAPL NFLX GILD PBR AMZN NFLX TWTR TSLA C KMI SDRL

Options with increasing volume @ CBOE: SDRL BLOX HP KBR ADP BHP LFC TPX TASR

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 15c to 5.16; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 26c to 11.99; December 16 and 17 calls active on total volume of 104K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 30c to 26.82

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 11c to 10.92; compared to its 10-day moving average of 11.19 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 12c to 262.13 compared to its 50-day moving average of 262.58 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 1.34 to 916.62 after mixed economic data as stocks trade near record highs.