CBOE Mid-Day Update 12.5.14

Volatility as an asset class

Ulta Salon (ULTA) is recently up $5.39 to $131.16 on strong profit and revenue growth.  December call option implied volatility is at 31, January is at 28, March is at 32; compared to its 26-week average of 34.

Five Below (FIVE) is recently down $5.33 to $37.52 after Q4 outlook misses expectations. December call option implied volatility is at 39, January is at 41, February is at 47; compared to its 26-week average of 46.

Gap (GPS) is recently up 94c to $41.50 after reporting November SSS rose 6%. December call option implied volatility is at 21, January is at 23, February is at 26; compared to its 26-week average of 27.

CBOE Crude Oil Volatility Index (OVX) down 0.5% to 35.20, WTI crude oil trades $66. cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.1% to 27.70, WTI @ $66 cboe.com/micro/VIXETF/VXXLE/

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

Options with increasing volume @ CBOE: AMAT NOAH FRAN BIG GREK KEY VIAB

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 19c to 4.80; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently down 40c to 11.98; December 18 calls and December 12 puts are active on total volume of 152K 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 down 76c to 11.12; compared to its 10-day moving average of 11.88 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 46c to 263.75 compared to its 50-day moving average of 261.93 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 1.54 to 919.30 after U.S. November nonfarm payrolls rose 321K, Unemployment rates stays 5.8%.