CBOE Mid-Day Update 12.17.14

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 66c to $46.22 into the FOMC policy statement.  December call option implied volatility is at 37, January is at 27, March is at 26; compared to its 26-week average of 24.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 93c to $126.68.  Overall option implied volatility of 15 is above its 26-week average of 11.

Whirlpool (WHR) is recently up $9.28 to $183.82 on targeting to double ongoing EPS by 2018.  December call option implied volatility is at 38, January is at 28, March is at 27; compared to its 26-week average of 25.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.21; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Interest Rate 5 Year Note (FVX) is recently up 43c to 15.69 into Federal Reserve policy meeting decision

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 7% to 37.60, WTI above $56 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) down 6.8% to 51.93 WTI oil trades above $56 cboe.com/OVX

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

Options with increasing volume @ CBOE: WYNN MGM LVS CLF MCD BP

CBOE Volatility Index (VIX) is recently down 1.30 to 22.28; January 20 and 22 calls are active on total volume of 4730K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.18 to 33.45

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.80 to 22.45; compared to its 10-day moving average of 18.57 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 1.91 to 254.94 compared to its 50-day moving average of 260.73 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 8.52 to 880.28 as oil and Russia stocks rally into the FOMC