CBOE Mid-Day Update 12.26.14

Volatility as an asset class

Oil indexes and ETF option implied volatility is elevated as WTI Crude oil trades below $57

ProShares Ultra DJ-UBS Crude Oil (UCO) overall option implied volatility of 92 compares to its 26-week average of 45.

Energy Select Sector SPDR (XLE) overall option implied volatility of 26 compares to its 26-week average of 23.

United States Natural Gas Fund (UNG) overall option implied volatility of 59 compares to its 26-week average of 37.

Oil Services Holders Trust (OIH) overall option implied volatility of 34 is compares to its 26-week average of 25.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 0.08% to 5.31; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.7% to 27.05, WTI trades below $57 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) down 1.1% to $55.47 cboe.com/OVX

Active options at CBOE: AAPL TSLA TWTR GILD AMZN TWTR NFLX BAC BIDU KO

Options with increasing volume @ CBOE: CAH OUTR TWO POWR LFC EXPW IPXL

CBOE Volatility Index (VIX) is recently up 11c to 14.49; January 20, 23 and 26 calls are active on total volume of 100K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 7c to 28.24

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.19 to 11.54; compared to its 10-day moving average of 16.11 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 33c to 265.83 compared to its 50-day moving average of 261.48 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 3.52 to 922.90 as markets continue to rally after the Christmas holiday.