CBOE Mid-Day Update 5.20.14

The market gave up early gains and is hovering above the intra-day lows.  DJIA off 115 points, SPX down 11 points and NASDAQ lower by ~25. 10-year hasn’t budged, 2.51%.  FED’s Dudley spoke this morning saying rate rise should be a priority. CBOE trades 2.4mm of 8.1mm options traded so far.  This is a 5-week cycle with a long weekend coming up, so volume not-unexpected.  VIX active this morning with 542k contracts changing hands. VIX futures trade 140k.  SPY with a modest 330k trading.  Volatility as an asset class:

Staples (SPLS) is down $1.63 to $11.76 on 28mm shares, as Q1 profit shrank 43% and the office-supplies chain struggled with soft sales and traffic. June call option implied volatility is at 27, September is at 30; compared to its 26-week average of 33.

Dick’s Sporting Goods (DKS) is off $8.68 to $44.42 after cutting its outlook for the year on continued weaker sales in golf and hunting categories. June call option implied volatility is at 27, July is at 22, September is at 25; compared to its 26-week average of 28.

Medtronic (MDT) is  down $1.20 to $59.14 on weak Q4 results because of charges for the settlement of lawsuits. June and August call option implied volatility is at 14, November is at 15; compared to its 26-week average of 19.

Actives at CBOE: AAPL TSLA NFLX HD TSLA TWTR FB RSH BAC JCP

Stocks with increasing volume at CBOE: SD NEE NRG CRM FCX TJX BPL AZN FST URBN INO NI DKS KOL PSDV VIX

CBOE S&P 500 Short-Term Volatility Index (VXST) up 3.5% to 11.39; compared to its 10-day moving average of 11.63. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 264.29, compared to its 50-day moving average of 260.21. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 2.1% to 12.68. VIX June 16 and 20 calls active on 199K contracts @ CBOE  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 5c to 36.07.

CBOE DJIA Volatility Index (VXD) down 2.3% to 11.79; compared to its 50-day moving average of 13.20.

CBOE Nasdaq-100 Volatility Index (VXN) up 1.2% to 15.30; compared to its 50-day moving average of 17.62

S&P 100 Options (OEX) recently down $3.32 to $832.34 as stocks come off a two-day rally and investors analyze corporate results.