CBOE Volatility Update 12.4.14

Volatility as an asset class

Sears Holdings (SHLD) is recently down 55c to $33.73 after reporting a Q3 loss of $5.15 per share on larger debt levels. December call option implied volatility is at of 67, January is at 70, March is at 65; compared to its 26-week average of 58.

Kroger (KR) is recently up $2.12 to $60.77 on the grocery company sees FY15 EPS growth of 8%-11%. December call option implied volatility is at 18, January and April is at 16; compared to its 26-week average of 21.

Express (EXPR) is recently down $1.36 to $13.13 on the retailer sees FY14 EPS 69c-76c, compared to consensus 89c. December call option implied volatility is at 55, January is at 59, April is at 52; compared to its 26-week average of 50.

CBOE Crude Oil Volatility Index (OVX) down 0.1% to 36.11, WTI crude oil trades down 1% to $66.67. cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4.2% to 27.84, WTI @ $66.67
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA OPK WLT SIRI NFLX PBR BIDU

Options with increasing volume @ CBOE: ONN SIRI EEP ASHR BBG UTX

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 12c to 5.02; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 2c to 12.49; December 13 and 14 puts are active on total volume of 172K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 10c to 26.61

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 11c to 12.24; compared to its 10-day moving average of 11.90 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 9c to 263.12 compared to its 50-day moving average of 261.96 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 1.24 to 917.38 after the European Central Bank said it would reassess the impact of its monetary policy stimulus early next year.