CBOE Mid-Day Update 12.8.14

Volatility as an asset class

Large Cap oil Services Company’s volatility is elevated as WTI Crude oil trades near $65

Baker Hughes (BHI) overall option implied volatility of 34 compares to its 26-week average of 28.

Dril-Quip (DRQ) overall option implied volatility of 35 compares to its 26-week average of 29.

Halliburton (HAL) overall option implied volatility of 40 compares to its 26-week average of 29.
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National Oilwell (NOV) overall option implied volatility of 30 compares to its 26-week average of 26.

Schlumberger (SLB) overall option implied volatility of 32 compares to its 26-week average of 25.

Weatherford (WFT) overall option implied volatility of 54 compares to its 26-week average of 38.

CBOE Crude Oil Volatility Index (OVX) up 12.9% to 38.60, WTI crude oil trades $65. cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 9.1% to 29.99, WTI @ $65
cboe.com/micro/VIXETF/VXXLE/

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

Options with increasing volume @ CBOE: DWA AMAT COP SUNE CBST DWA

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 4.78; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) -2.6% to 28.52, 50-day MA is 24.71 after sharp FXI rally

CBOE Volatility Index (VIX) is recently up 96c to 12.78; December 15 calls and December 12 puts are active on total volume of 133K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 7c to 26.03

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.68 to 12.38; compared to its 10-day moving average of 12.03 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 9c to 263.95 compared to its 50-day moving average of 261.86
cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 98c to 918.72 as WTI oil trades at five-year lows.