CBOE Mid-Day Update 5.15.14

10-year yield getting crushed, currently at 2.49%.  David Tepper’s comments about raising cash has investors and traders moving to the sidelines. Traders are always watching something, this morning it was the PPI, now it’s bonds.  DJIA has rallied 20 points off the low, but a lot of trading ahead of us. CBOE trades ~4.14mm contracts of 14.1mm in total.  SPX with 776k, VIX with 520k contracts changing hands.  VXST options active as 538 contracts change hands.  207k VIX Futures trade by mid-day.  SPY show 1.75mm contracts trade so far.

CBOE S&P 500 Short-Term Volatility Index (VXST) up 24%, 2.67, to 13.83; compared to its 10-day moving average of 11.98. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE Volatility Index (VIX) up 11.5%, 1.70, to 14.  VIX May 15 & 16 calls active on 381K contracts @ CBOE  cboe.com/VIX

Wal-Mart (WMT) is down $1.92 to $76.84 with +7mm shares trading, after releasing a weak earnings forecast. May weekly call option implied volatility is at 14, June is at 11, December is at 12; compared to its 26-week average of 14.

Kohl’s as Q1 earnings is down $1.32 to $52.76 as Q1 earnings fell 15%.  May weekly call option implied volatility is at 25, June is at 22, October is at 22; compared to its 26-week average of 25.

Clovis (CLVS) is up $6.13 to $57.22 on the encouraging early data for CO-1686.  June call option implied volatility is at 95, July is at 91, October is at 79; compared to its 26-week average of 72.

Actives at CBOE:  AAPL TSLA C PBR NFLX BAC ABX AMZN VIX VXST SPX

Stocks with increasing volume @ CBOE: ZBRA IWC EXPD ECL ENOC EWG ENR TPX PMT NQ ADSK

CBOE TOP TEN MOST ACTIVE CALLS – Equity Options

SPY 5/17/2014  189  43K
SPY 5/17/2014   191  39K
PBR 6/21/2014    16  23K
WMB 8/16/2014  47  20K
WMB 8/16/2014  50  20K
IWM 5/30/2014  110 10K
EXPD 6/21/2014   46 10K
CBS 1/17/2015      60   9K
SPY 5/17/2014    188   8K
SPY 7/19/2014    196   8K

CBOE S&P 500 Short-Term Volatility Index (VXST) up 24%, 2.67. to 13.83; compared to its 10-day moving average of 11.98. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.4% to 263.38, compared to its 50-day moving average of 259.84. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 11.5% to 14.  VIX May 15 & 16 calls active on 381K contracts @ CBOE  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up $1.03 to 39.05.

CBOE DJIA Volatility Index (VXD) up 5.5% to 12.18; compared to its 50-day moving average of 13.32.

CBOE Nasdaq-100 Volatility Index (VXN) up 9.2% to 16.56; compared to its 50-day moving average of 17.64

S&P 100 Options (OEX) recently down $9.09 to $827.48 after data showed an unexpected decline in industrial production, fueled anxiety about the strength of the economy.

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