CBOE Mid-Day Update 4.15.14

US stocks rallied, sold off and are currently sharply unchanged.  Option volume at 12:30 CDT was ~13.6mm, 3.925mm at CBOE.  SPX and VIX traded over 550k, SPY with 1.65mm contracts. Some slightly better Q1 Earnings news being overshadowed by shots allegedly fired in Ukraine.  NASDAQ still weak. 10-year at 2.62%.

Potash (POT) is up $0.82 to $34.71 on speculation that BHP Billiton (BHP) may again make a bid to take over the company after failing in a prior buyout attempt in 2010, according to the Globe & Mail. April, May and June call option implied volatility of 23 is near its 26-week average.

Zebra Technologies (ZBRA) is down $7.68 to $60.59 after agreeing to acquire Motorola Solution’s (MSI) enterprise unit for $3.4B.  May call option implied volatility is at 37, August is at 34, November is at 30; compared to its 26-week average of 24.

Comerica (CMA) is off 0.43 to $47.67 after reporting Q1 EPS 73c, consensus 72c.  May call option implied volatility is at 20, July and October is at 21; compared to its 26-week average of 23.


Stocks with increasing volume: RAD P LPNT IWC MSI ARMH ARUN FSL GDP SPR GWW

CBOE S&P 500 Short-Term Volatility Index (VXST) up 0.27 to 16.27, compared to its 10-day moving average of 14.78. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.5% to 255.47, compared to its 50-day moving average of 256.04. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 0.46 to 16.57. VIX April 17, 18 calls and 19 calls are active at CBOE on 531K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 1.43 to 45.82

CBOE DJIA Volatility Index (VXD) up 5.1% to 15.42; compared to its 50-day moving average of 14.26.

CBOE Nasdaq-100 Volatility Index (VXN) up 3% to 22.31; compared to its 50-day moving average of 17.21

S&P 100 Options (OEX) recently higher by 0.97 to $812.37 on a escalation of Ukraine unrest.

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