CBOE Mid-Day Update 5.14.14

Stocks in a mild retreat this morning.  BA with a nice order from China and LUV with a buyback and dividend increase being ignored, as both stocks ~ unchanged.  Treasury yields down across the board, 10-year below 2.54%.  Grains lower on good moisture in Upper Midwest.  VIX Futures trade 84k contracts.  Volatility as an asset class:

SodaStream Int’l (SODA) is up $0.63 to $41.75 after reporting Q1 EPS of $0.08, better than the analyst estimate of $0.01 on inline revenue of $118M. June call option implied volatility is at 47, July is at 45, October is at 43, January is at 40; compared to its 26-week average of 55.

Macy’s (M) is down $0.14 to $57.76 after reiterating FY14 EPS view $4.40-$4.50, compared to consensus $4.48 as trends improved in April as the weather improved. June, August and November call option implied volatility is at 22; compared to its 26-week average of 23.

Deere (DE) is down $2.36 to $91.26 on a Q2 profit decrease of 9.5% as equipment sales decreased. June, September and December call option implied volatility is at 14; compared to its 26-week average of 18.

VIX methodology for Google (VXGOG) is recently trading at $15.58 at the low end of its historic range.

Actives at CBOE: AAPL TWTR TSLA NFLX PBR CMCS LVS

Stocks with increasing volume @ CBOE: NXPI MNKD RAI HUN FOSL AER BEAV

CBOE S&P 500 Short-Term Volatility Index (VXST) down 2.6% to 10.49; compared to its 10-day moving average of 11.81. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 264.59, compared to its 50-day moving average of 259.74. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.7% to 12.04. VIX June 15 16 calls and puts active at CBOE on 212K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 41c to 36.83.

CBOE DJIA Volatility Index (VXD) down 1.4% to 11.24; compared to its 50-day moving average of 13.34.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.2% to 15.19; compared to its 50-day moving average of 17.61

S&P 100 Options (OEX) recently down $1.28 to $839.78 as stocks sell off from a record high.

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.