CBOE Mid-Day Update 12.1.14

Volatility as an asset class

Energy indexes and ETF option implied volatility has increased on wide oil and gas price movement.

Energy Select Sector SPDR (XLE) December weekly call option implied volatility is at 39, December is at 30; compared to its 26-week average of 18.

cboeOil Services Holders Trust (OIH) December weekly call option implied volatility is at 64, December is at 41, January is at 37; compared to its 26-week average of 22.

United States Oil Fund (USO) December weekly call option implied volatility is at 44, December is at 34, January is at 37; compared to its 26-week average of 21.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) December weekly call option implied volatility is at 91, December is at 54, January is at 53; compared to its 26-week average of 24.

CBOE Crude Oil Volatility Index $OVX +5.9% to 38.60, WTI Crude oil @ $68. cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR $VXXLE +10.7% to 30.84, WTI @ $68
cboe.com/micro/VIXETF/VXXLE/

VIX methodology for Apple (VXAPL) up 13.8% to 29.33, compared to its 50-day moving average of 25.46 cboe.com/VXAPL

Active options at CBOE: AAPL AMZN TWTR TSLA AIG C PBR

Options with increasing volume @ CBOE: KMI CVX LBTY SDRL

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 66c to 5.55; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 1.21 to 14.54; December 22 and 23 calls active on total volume of 299K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 1.28 to 26.69

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.94 to 14.90; compared to its 10-day moving average of 11.66 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 31c to 261.86 compared to its 50-day moving average of 262.26 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 5.30 to 910.94 as energy prices rally from three year lows.