CBOE Mid-Day Update 12.16.14

Volatility as an asset class

iPath S&P GSCI Crude Oil Total Return (OIL) is recently up 22c to $13.26 as WTI crude oil trades above $56.  Overall option implied volatility of 60 compares to its 26-week average of 25.

Energy Select Sector SPDR (XLE) is recently up $2.09 to $75.49. December call option implied volatility is at 40, January is 35, March is at 33; compared to its 26-week average of 20.

ProShares Ultra DJ-UBS Crude Oil (UCO) is recently up 26c to $11.39. Overall option implied volatility of 96 compares to its 26-week average of 39.

United States Oil Fund (USO) is recently up 24c to $21.31. Overall option implied volatility of 47 compares to its 26-week average of 21.

Exxon Mobil (XOM) is recently up $1.26 to $88.16. Overall option implied volatility of 26 is above its 26-week average of 17 according to Track Data, suggesting larger price movement.

VIX methodology for Goldman Sachs (VXGS) up 2.7% to 29.79, above its 50-day moving average of 22.74. cboe.com/VXGS

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.04 to 38.06, WTI above $56 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) down 89c to 56.55. cboe.com/OVX

Active options at CBOE: AAPL C PBR TWTR TSLA AMZN BAC NFLX MCD MGM

Options with increasing volume @ CBOE: ARRY BEN GRUB LGCY RUSS LTM CPA PAY TLM IBN

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 29c to 6.58; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 86c to 21.28; December 20 and 23 calls are active on total volume of 720K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 43c to 32.63

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 18c to 21; compared to its 10-day moving average of 17.52 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 2.11 to 256.86 compared to its 50-day moving average of 260.95 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 6.74 to 886.30 after beginning the day in negative ground amid headlines of a