CBOE Mid-Day Update 1.6.14

December ISM report weighing on market.  Dec came in at 53.0, below 53.9 in Nov and 54.5 expected.  New Orders component fell from 56.4 to 49.4, first print below 50 (contraction) in over 4 years.   Volatility as an asset class

SolarCity (SCTY) is up $5.59 to $64.82 after an upgrade to Conviction Buy from Neutral at Goldman. January and February call option implied volatility is at 68, April is at 65; above its 26-week average of 63.

hhgregg (HGG) is down $0.68 to $12.92 after the electronics retailer sees sales ‘materially below’ FY guidance. January call option implied volatility is at 56, February is at 53, April is at 48; above its 26-week average of 47.

Select Comfort (SCSS) is down $3.93 to $17.41 as the mattress retailer sees Q4 EPS below the low end of 18c-26c view.  January call option implied volatility of 48, February is at 55, March is at 51; compared to its 26-week average of 47.

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Intel (INTC) January call option implied volatility is at 25, February is at 22, March, April and July is at 20; compared to its 26-week average of 22 into CEO Brian Krzanich kicking off CES 2014 with a keynote address today.

Active options at CBOE: AAPL TWTR C BAC GM EMC NEM

Options with increasing volume @ CBOE: CMCS BSX TYC P ZNGA SIRI

CBOE DJIA Volatility Index (VXD) up 10c to 12.99, above 50-day moving average of 12.78. cboe.com/VXD

CBOE Volatility Index (VIX) is recently down 3c to 13.73. VIX January 16, 17, Feb 17, 18, 20 & 25 calls are active at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 61c to 42.53.

S&P 100 Options (OEX) is down 2.00 to $814.48 on concerns of weakening economy.