CBOE Mid-Day Update 12.9.14

Volatility as an asset class

Bank of America (BAC) is recently down 32c to $17.34 on the bank sees Q4 sales and trading revenue down linked-quarter, y/y. December call option implied volatility is at 19, January and February is at 20; compared to its 26-week average of 23.

Citigroup (C) is recently down $1.19 TO $55.19 on the CEO sees $2.7B charges in Q4 to address legal reserve charges. December call option implied volatility is at 20, January is at 18, February is at 20; compared to its 26-week average of 21.

Burlington Stores (BURL) is recently up $1.43 to $44.28 after beating Q3 estimates, raising FY14 outlook. December call option implied volatility is at 38, January is at 31, March is at 35; compared to its 26-week average of 45.

CBOE Crude Oil Volatility Index (OVX) down 2.5% to 38.69, WTI crude oil trades $65. cboe.com/OVX

CBOE Gold Volatility Index (GVZ) up 2.7% to 20.15, GLD up 2% to $118.17 cboe.com/GVZ

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 9.1% to 29.99, WTI @ $64 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C BAC VZ TSLA TWTR AA DOW BAC PBR KO

Options with increasing volume @ CBOE: CONN CBST SAVE HAIN

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 5.05; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 1.80 to 16; December 20 calls and December 13 puts are active on total volume of 317K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 1.40 to 28.45

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.79 to 18.26; compared to its 10-day moving average of 13.05 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 1.67 to 261.23 compared to its 50-day moving average of 261.72 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down $8.66 to 904.32 as the Shanghai Composite Index sold off the most since 2009.