CBOE Mid-Day Update 12.3.14

Volatility as an asset class

Energy indexes and ETF option implied volatility decreases three-year highs as energy prices stabilize

Energy Select Sector SPDR (XLE) is recently up 1.13 to $82.13. December weekly call option implied volatility is at 39, December is at 24; compared to a level of 27 from December 2 and its 26-week average of 18.

Oil Services Holders Trust (OIH) is recently up 71c to $38.10. December weekly call option implied volatility is at 59, December is at 34, January is at 33; compared to its 26-week average of 22.

United States Oil Fund (USO) is recently down 8c to $25.51. December weekly call option implied volatility is at 40, December is at 38, January is at 34; compared to its 26-week average of 21.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) is recently up 1.43 to $51.32.  December weekly call option implied volatility is at 70, December is at 47, January is at 43; compared to its 26-week average of 24.

CBOE Crude Oil Volatility Index (OVX) -5% to 36.67, WTI Crude oil @ $68. cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) -4.9% to 26.87, WTI @ $68 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL AMZN GILD WLT ABX BAC AMAT TWTR TSLA C

Options with increasing volume @ CBOE:  ONNN WLT SDRL QCOM

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 21c to 5.14; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 29c to 12.56; December 17 and 18 calls active on total volume of 221K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 29c to 26.68

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 2c to 12.55; compared to its 10-day moving average of 11.86 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 11c to 262.96 compared to its 50-day moving average of 262.07 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 32c to 916.92 as energy shares rebound into Friday November employment