CBOE Mid-Day Update 3.25.14

S&P cut Brazil’s debt rating by two notches to BBB-.  Consumer Confidence jumped sharply higher for March, reversing the Feb drop.   NASDAQ continues to lag the other major indices.  Options volume modest at mid-day.

Carnival (CCL) is down $2.13 to $37.86 after the company reported better than expected adjusted earnings but issued guidance that fell below analysts’ consensus forecast. April, May and July call option implied volatility of 21 is below its 26-week average of 24.

Sears Holdings (SHLD) is down $0.48 to $47.68 after Standard & Poor’s Rating Service lessened the likelihood of a near-term downgrade of its junk rating on the expected completion of asset sales and access to a revolving credit facility.  April and May call option implied volatility is at 59, June is at 58; compared to its 26-week average of 55.

General Motors (GM) is down $0.77 to $34.37 amid additional press reports regarding its recall of vehicles with faulty ignition switches. March weekly call option implied volatility is at 30, April is at 26, June is at 27, September is at 26; compared to its 26-week average of 28.


Options with increasing volume @ CBOE: KGC VLO FIO AUY LEE AVT GALT FIO FUEL SPR

CBOE S&P 500 Short-Term Volatility Index (VXST) down 0.38 to 14.95, compared to its 10-day moving average of 15.62. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

CBOE DJIA BuyWrite Index (BXD) up 0.65 to 257.44, compared to its 50-day moving average of 254.53. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.34 to 14.75 VIX April 15, 16, 18, 20 and 24 calls are active at CBOE on 312K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is off 0.05 to 44.32.

S&P 100 Options (OEX) recently up 2.30 to $823.68 as sales of new U.S. single-family homes hit a five-month low in February and a increase in consumer confidence rose to six-month high in March.