Category Archives: VIX

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CBOE Mid-Day Update 8.20.14

Volatility as an asset class International Rectifier (IRF) is recently up $12.60 to $39.15 on Infineon Technologies (IFNNY) acquiring for $40 per share in an all-cash transaction valued at approximately $3B. September and October option implied volatility of 17 is below its 26-week average of 34. Staples (SPLS) is recently down 34c to $11.28 after [...]

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CBOE Mid-Day Update

Volatility as an asset class SPDR Homebuilder (XHB) is recently up 65c to $31.79 on July Housing starts were 1093K vs 1000K.  September call option implied volatility is at 16, December is at 17; compared to its 26-week average of 20. TJX (TJX) is recently up $4.62 to $58.55 after reporting better than expected Q2 results [...]

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12 Key Stats Re: VIX Index

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted –  “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. …Krag “Buzz” Gregory, a Goldman strategist, found that U.S. [...]

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Walking A Fine Line Here – Weekly Market Outlook

In retrospect, last week’s bounce wasn’t have been a total surprise.  Most of the market’s major indices were approaching major support levels, as we’ve previously discussed.  Will the momentum continue or will the bearish volatility return? We’ll look into that, right after a quick look at all of last week’s and this week’s economic numbers. [...]

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CBOE Mid-Day Update 8.18.14

Volatility as an asset class Google (GOOG) is recently up $10.65 to $584.20 after acquiring digital photo analysis startup Jetpac. VIX methodology for Google (VXGOG) up 2.1% to 17.25; compared to its 50-day moving average of 23.60. IBM (IBM) is recently up $2.24 to $189.57 on U.S. regulatory approval of x86 server sale to Lenovo. [...]

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Free VIX Webcast Series – Aug 25 – 27

In just over one week The Options Institute at CBOE will be offering three free webcasts discussing different aspects of the CBOE Volatility Index or VIX. On Monday August 25th I’ll start out with the basics of volatility indexes and introducing exactly what VIX is measuring.  In addition we will look at how the index has historically behaved [...]

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The Weekly Options News Roundup – 8/15/2014

Your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. CBOE is the New Tweet Twitter has become an invaluable tool for investors seeking market insights and near real-time financial data.  The Wall Street Journal tabbed 50 financial Twitter feeds as “must [...]

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CBOE Risk Management Conference – RMC Europe in Three Weeks

CBOE’s Risk Management Conference (RMC) Europe is quickly approaching.  As you know, it will be held at the Powerscourt Hotel, County Wicklow, Ireland (near Enniskerry – 20 minutes outside Dublin), from September 3 – 5, 2014.   That’s in three weeks!  We published the first two day’s agendas earlier this week, here is the Day Three [...]

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CBOE Mid-Day Update 8.15.14

Volatility as an asset class Applied Materials (AMAT) is recently up 94c to $22.09 after the semiconductor equipment maker posted strong Q3 profit, adjusted gross margin, and order growth. August weekly call option implied volatility is at 35, September is at 30, October and January is at 31; compared to its 26-week average of 33. [...]

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CBOE Mid-Day Update 8.13.14

Volatility as an asset class Amazon.com (AMZN) is recently up $10.26 to $329.50 on Channel Advisor reported Amazon’s July same-store-sales came in at 40.4%, an increase compared to June’s 34.4%. Amazon has increased its year-over-year growth rate every month so far in 2014, which Channel Advisor called a “very impressive performance.”  August call option implied [...]

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CBOE Mid-Day Update 8.12.14

Volatility as an asset class Tesla Motors (TSLA) is recently down $2.26 to $257 on Model S ‘has more than its share of problems,’ Consumer Reports says. August call option implied volatility is at 40, September is at 39, December is at 41; compared to its 26-week average of 52. Kate Spade (KATE) is recently [...]

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This Week in VIX – 8/8/2014

VIX was lower on the week by about 7%. However, from the close Monday to Friday VIX actually worked a bit higher and without Friday’s very impressive rally VIX may have finished the week higher. Looking at the chart below I find the highs on Thursday and Friday pretty interesting.   The highs surpassing last week’s close [...]

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CBOE Mid-Day Update 8.8.14

Talk of peace in southern Europe pushing stocks higher.  VIX Futures showed (preliminary numbers) over 49k contracts trade in the overnight session.  Slightly less than 600k SPX and 300k VIX Options trade by mid-day today. Volatility as an asset class: Lululemon (LULU) is up $1.17 to $40.20 following announcement that founder Chip Wilson will sell [...]

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CBOE Mid-Day Update 8.7.14

Volatility as an asset class 21st Century Fox (FOXA) is recently up $1.98 to $34.40 after the company reported higher than expected Q4 earnings and the stock was upgraded to Market Perform from Underperform at Cowen. August call option implied volatility is at 28, October is at 26, January is at 25; compared to its [...]

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Blogging Options: CBOE Morning Update 8.7.14

Good jobless report this morning and European stocks steady up.  Option volume good yesterday and ~276k VIX Futures also trade.  Consolidate.  Volatility as an asset class Costco (COST) is down $1.26 to $118.33 after reporting July SSS rose 5%. July revenue was $8.55B vs. $7.87B last year. Overall option implied volatility of 16 is at [...]

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CBOE Mid-Day Update 8.6.14

Volatility as an asset class Walgreen (WAG) is recently down $8.54 to $60.58 after exercises option to acquire remaining 55% of Alliance Boots and says it will not pursue inversion as part of deal. August call option implied volatility is at 28, September is at 24, October is at 25, November is at 24; compared [...]

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Blogging Options: CBOE Morning Update 8.6.14

Activity picked up yesterday in stocks and options with reports of Russian troop movements and weak economic data.  VIX Futures with ~365k contracts traded,   SPX 820k and VIX with 586k. Asian stocks lower, European shares off +1%. With Italy’s economy shrinking 0.2% and German orders sliding 3.2% in June, recession chatter picking up.  US 10-year [...]

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CBOE Launches New S&P 500 End-Of-Month Options

Following up on an earlier CBOE Blog, CBOE recently launched the new, and long anticipated, S&P 500® End-of-Month Options. The introduction of these options stemmed from requests by asset managers who wanted an SPX option expiration that more precisely coincided with their end-of-month fund cycles and performance periods. To date the launch has been very [...]

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CBOE Mid-Day Update 8.5.14

Volatility as an asset class Target (TGT) is recently down $1.80 to $58.90 after lowering its Q2 adjusted EPS view on a data breach and discounts. August and September call option implied volatility is at 21, October is at 18; compared to its 26-week average of 18. Cablevision (CVC) is recently down 87c to $18.57 [...]

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CBOE Mid-Day Update 8.4.14

Volatility as an asset class Amgen (AMGN) is recently up $1.41 to $126.95 after the company reported its Phase 3 clinical trial ASPIRE met its primary endpoint of progression-free survival. August weekly call option implied volatility is at 22, September is at 23, October is at 21; compared to its 26-week average of 23. Michael [...]

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Valuation Trepidation – Weekly Market Outlook

Ouch.  Not that traders didn’t have an inkling the market was overbought and perhaps poised for stumble, but few saw coming the suddenness and size of Thursday’s drubbing.  However it materialized, we have no choice but to at least entertain the possibility that this is the beginning of a much more significant pullback. We’ll slice [...]

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CBOE Mid-Day Update 7.31.14

Volatility as an asset class Yum! Brands (YUM) is recently down $4.05 to $68.95 after the company disclosed a “significant negative impact to same store sales” in China due to the latest China food supplier issue. August call option implied volatility is at 22, September and January is at 19; compared to its 26-week average [...]

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CBOE Mid-Day Update 7.30.14

Volatility as an asset class US Steel (X) is recently up $5.36 to $33.03 on a less than expected Q2 loss. August call option implied volatility is at 36, September and January is at 30; compared to its 26-week average of 34. Hess (HES) is recently up $2.05 to $101.47 after reporting better than expected [...]

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CBOE Mid-Day Update 7.29.14

Volatility as an asset class Merck (MRK) is recently up $1.19 to $59.15 on Q2 sales and profits that beat expectations.  August call option implied volatility is at 15, September is at 14, January is at 15; compared to its 26-week average of 18. Pfizer (PFE) is recently down 10c to $30 after backing its [...]

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Blogging Options: CBOE Morning Update 7.29.14

Slow news-night.  Overseas markets up fractionally as 2-day FED meeting begins, and few newsworthy comments expected.  VIX futures calm overnight.  Beautiful weather in midwest again this week, trains empty coming into downtown Chicago.  little Volatility as an asset classUPS (UPS) is down $3.00 to $99.66 in the premarket after cutting FY14 adjusted EPS view to [...]

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CBOE Mid-Day Update 7.25.14

Volatility as an asset class Baidu (BIDU) is recently up $18.26 to $222.46 after reporting better than expected Q2 results and mobile revenue reached 30% of overall revenue. August and September call option implied volatility is at 28, December is at 31; compared to its 26-week average of 42. Xerox (XRX) is recently up 35c [...]

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CBOE Mid-Day Update 7.24.14

Volatility as an asset class Ford (F) is recently up 19c to $17.97 on Q2 profit increasing 6% to $1.3B.  July weekly call option implied volatility is at 24, August is at 18, September and October is at 17; compared to its 26-week average of 23. Under Armour (UA) is recently up $9.53 to $70.16 on Q2 net [...]

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Blogging Options: CBOE Morning Update 7.24.14

Ford up $0.30, GM drops $0.70 and CAT falls ~$3 as earnings keep rolling in this morning.  AMR Group declares first dividend in 34 years.  Weekly Claims fall again.  Overseas markets drift higher.  Volatility as an asset class: Qualcomm (QCOM) is down $3.83 to $77.76  in the premarket after the chip manufacturer reported a 42% [...]

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CBOE Mid-Day Update 7.23.14

Volatility as an asset class Boeing (BA) is recently down $3.21 to $126.53 after raising 2014 EPS outlook, however renewed concerns on the KC-46 tanker program and a $425M charge on Pegasus jets. July weekly call option implied volatility is at 23, August is at 18, October is at 15; compared to its 26-week average [...]

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CBOE at Public Funds Summit This Week

CBOE is working the 3-day Opal Public Funds Summit East in Rhode Island this week. About 250 financial professionals, including four state treasurers and dozens of trustees of public pension funds, have been in attendance.  At the CBOE exhibit table, available educational literature includes fact sheets on CBOE benchmark indexes, on CBOE volatility indexes (including [...]

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CBOE Mid-Day Update 6.22.14

Volatility as an asset class Coca-Cola (KO) is recently down $1.26 to $41.13 on the beverage company sees structural items hurting second half EPS by 2c. July weekly call option implied volatility is at 18, August is at 10, September and January is at 11; compared to its 26-week average of 15. Harley-Davidson (HOG) is [...]