CBOE Mid-Day Update 12.22.14

Volatility as an asset class

Gilead (GILD) option implied volatility has increased after Express Scripts (ESRX) will offer AbbVie’s (ABBV) just approved hepatitis C regimen Viekira Pak.

Gilead is recently down $15.95 to $92.84.  December weekly put option implied volatility is at 55, January is at 41; compared to its 26-week average of 34.

Express Scripts is recently up 93c to $81.91.  January and February call option implied volatility of 19 compared\s to its 26-week average of 20.

AbbVie’s is recently down 32c to $67.43.  January and February call option implied volatility of 28 compares to its 26-week average of 24.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 0.18% to 5.42; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Interest Rate 5 Year Note (FVX) is recently up 10c to 16.62.

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.2% to 31.39, WTI trades $55.63 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) up 2.2% to 56.04 WTI oil trades $56 cboe.com/OVX

Active options at CBOE: AAPL TSLA TWTR AMZN FB

Options with increasing volume @ CBOE: GILD OCN AA DOW ACHN CVX ARCP NE

CBOE Volatility Index (VIX) is recently down 66c to 15.83; January 18 and 19 calls are active on total volume of 14K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 5c to 13.72

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 89c to 29.01 compared to its 10-day moving average of 18.96 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 82c to 264.23 compared to its 50-day moving average of 260.83 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 42c to 915.70 as investors continue to be thilled about Wednesday’s statement by the Federal Reserve that it would take a patient approach to raising interest rates.