CBOE Mid-Day Update 3.14.14

Happy Pi day. The major Averages have given up early gains, and we’ve seen some fairly heavy option volume.  At mid-day, CBOE has traded 4.33mm of 13.7mm options contracts changing hands.  SPX has traded over 550k contracts, but VIX has traded a whopping 1.17 million contracts. 1.3mm SPY, while AAPL and SIRI have been the most active equities.  Watch election Sunday.

Volatility as an asset class

Market-Vector Russia ETF Trust (RSX) is up 0.45 to $21.50 after yesterday’s sell off to 58-month low on Ukraine uncertainty. March call option implied volatility is at 55, April is at 44, August is at 32; compared to its 26-week average of 26.

Cooper Tire (CTB) is higher by $1.58 to $24.40 after reporting Q4 EPS of 31c, compared to consensus 26c.  Revenue was $861M, compared to consensus $774M.  March call option implied volatility is at 35, April is at 28, May and August is at 33; compared to its 26-week average of 43.

Ann Inc. (ANN) is up $3.01 to $37.87 after reporting Q4 EPS 10c, consensus 7c. March call option implied volatility is at 25, April is at 26, June and August is at 28; compared to its 26-week average of 43.

Actives @ CBOE:  AAPL SIRI VIX TSLA TWTR AMZN GOOG C FB RIG

Options with increasing volume @ CBOE: NUAN QCOM RIG MHR CCK BX SIRI RPTP

CBOE S&P 500 Short-Term Volatility Index (VXST) up 1.35 to 18.56, compared to its 10-day moving average of 14.41. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

CBOE DJIA BuyWrite Index (BXD) up 30c to 257.01, compared to its 50-day moving average of 254.28. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 0.76 to 16.99. VIX March 15, 16, 18, 20 and 22 calls are active at CBOE on 980K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 1.03 to 47.11.

S&P 100 Options (OEX) off it’s highs, down up 1.25 to $812.17 into a referendum in Crimea this weekend.