CBOE Mid-Day Update 12.10.14

Volatility as an asset class

Las Vegas Sands (LVS) is recently down $1.94 to $54.17 after FBR lowered its estimates for LVS, Wynn Resorts (WYNN) and MGM Resorts (MGM) citing the 20% decline in Macau gross gaming revenue in November and a “soft” first week of December.  December call option implied volatility is at 36, January is at 32; compared to its 26-week average of 28.

Wynn Resorts (WYNN) is recently down $8.15 to $148.49. December weekly call option implied volatility is at 42, December is at 35, January is at 31; compared to its 26-week average of 30.

MGM Resorts (MGM) is recently down 73c to $20.78. December weekly call option implied volatility is at 33, December is at 38, January is at 32; compared to its 26-week average of 28.

CBOE Crude Oil Volatility Index (OVX) up 11.4% to 41.85, WTI crude oil trades below $61. cboe.com/OVX

CBOE Gold Volatility Index (GVZ) down 3% to 19.44, GLD down14c to $118.05 cboe.com/GVZ

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 11% to 34.94, WTI @ $61 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C BAC VZ TSLA TWTR AA DOW BAC ODP CVX MRK NFLX RIG

Options with increasing volume @ CBOE: GMCR FSLR MRK VZ GGP S XOM WFT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 16c to 5.16; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 1.27 to 16.16; December 16 and 18 calls are active on total volume of 318K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 1.04 to 28.49

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 3.22 to 18.49; compared to its 10-day moving average of 13.42 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 1.72 to 260.81 compared to its 50-day moving average of 261.62 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down $6.96 to 904.82 as energy prices pull stocks lower.