CBOE Mid-Day Update 12.18.14

Volatility as an asset class

Oracle (ORCL) is recently up $3.40 to $44.56 after Q2 results beat estimates as Q2 total software plus cloud revenue grew 5% to $7.3B. December call option implied volatility is at 26, January is at 21, February is at 19; compared to its 26-week average of 21.

Cloud software-as-a-service, platform-as-a-service and infrastructure-as-a-service stocks have rallied as volatility decreased.

Salesforce.com (CRM) is recently up $2.28 to $59.25. December call option implied volatility is at 28, January is at 31, February is at 30; compared to its 26-week average of 32.

SAP (SAP) is recently up $1.70 to $70.10. January call option implied volatility is at 18, March is at 20; compared to its 26-week average of 21.

Microsoft (MSFT) is recently up $1.29 to $47.03. December call option implied volatility is at 21, January is at 20, March is at 21; compared to its 26-week average of 21.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.59; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Interest Rate 5 Year Note (FVX) is recently up 51c to 16.63.

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.9% to 36.68, WTI trades $55.50 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) down 3% to 55.14 WTI oil trades $55.50 cboe.com/OVX

Active options at CBOE: AAPL TSLA PBR TWTR AMZN MCD FB RAD NFLX

Options with increasing volume @ CBOE: QSR ROC PIR TOL NYNY OCR RAD

CBOE Volatility Index (VIX) is recently down 1.95 to 17.49; January 17 and 25 calls are active on total volume of 442K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 90c to 30.24

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 2.56 to 15.48; compared to its 10-day moving average of 18.79 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 4.27 to 261.37 compared to its 50-day moving average of 260.67 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 14.38 to 903.92 as investors continue to be excited about yesterday’s statement by the Federal Reserve that it would take a patient approach to raising interest rates.