CBOE Mid-Day Update 5.8.14

Market adding on to early gains, oil shares only sector in DJIA not contributing.  Retail Sales for April better than expected. 10-year 2.6%.  Tesla still off big (~9%), commodities slightly lower.  Volatility as an asset class

Yelp (YELP) is up $2.03 to $54.77 on 5mm shares after being upgraded to Overweight from Equal Weight at Morgan Stanley.  May call option implied volatility is at 76, June is at 66, August is at 67; compared to its 26-week average of 63.

Twitter (TWTR) is up $1.82 to $31.76 on over 33 million shares trading hands, after being upgraded to Equal Weight from Underweight at Morgan Stanley. May call option implied volatility is at 61, June is at 57, July is at 55, September is at 56; compared to its 26-week average of 60.

Keurig Green Mountain (GMCR) is up $14.74 to $106.95 after the coffee machine and K-cup maker reported Q2 results that topped analysts’ consensus estimates. May call option implied volatility is at 42, June is at 39, July is at 36, September is at 44; compared to its 26-week average of 48.

Actives at CBOE:  AAPL TWTR TSLA NFLX FB C SUNE SCTY

Stocks with increasing volume @ CBOE: POWR BKD HMY CTL WY ODP FOX TWGP RGEN

CBOE S&P 500 Short-Term Volatility Index (VXST) down 6.2% to 12.02; compared to its 10-day moving average of 12.02. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.3% to 263.75, compared to its 50-day moving average of 259.11. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 2% to 13.15. VIX May 17, 18 and 22 calls are active at CBOE on 297K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 69c to 38.35.

CBOE DJIA Volatility Index (VXD) down 3.8% to 12.15; compared to its 50-day moving average of 13.51.

CBOE Nasdaq-100 Volatility Index (VXN) down ~3% to 16.88; compared to its 50-day moving average of 17.58

S&P 100 Options (OEX) up $3.40 to $835.20 on central banker comments.