CBOE Mid-Day Update 5.27.14

Markets up ~0.5%, but VIX higher by 0.25, interesting… Financials and Russell 2000 doing best. Richmond and Philly FED showed manufacturing rose, but at a much slower pace than April.  New Orders fell in May.  Consumer Confidence in-line, 10-year at 2.53%.

S&P 500 (SPY) is up $0.91 to $191.36 as stocks are hitting fresh life highs, pushing to 191.49 so far at its peak. May weekly call option implied volatility is at 11, June and July is at 9, September is at 11; compared to its 26-week average of 13.
 
AutoZone (AZO) is down $9.81 to $531.09 after the largest replacement auto parts retailer reported Q3 revenue which were mainly in-line with analysts’ consensus.  June call option implied volatility is at 17, July and September is at 16, December is at 17; compared to its 26-week average of 19. 
 
Hillshire Brands (HSH) is up $8.04 to $45.06 after responding to the unsolicited proposal by Pilgrim’s Pride (PPC) to acquire Hillshire Brands for $45.00 per share in cash. The company said, “We continue to strongly believe in the strategic merits and value creation potential provided by the proposed transaction with Pinnacle Foods (PF)”.

June call option implied volatility is at 24, August is at 17, August is a 15; compared to its 26-week average of 25.
 
Micron (MU) is up 0.67 to $28 after ISI Group raised its price target to $35 from $30 and said shares remain a top pick. May weekly call option implied volatility is at 32, June is at 33, July is at 41; compared to its 26-week average of 44.
 
Actives at CBOE:  AAPL TSLA NFLX FB TWTR BAC C SINA AMZN 
 
Stocks with increasing volume @ CBOE: HSH TIBX NAV MOVE HSH BCEI DRTX TRP WCG CNC VMC
 
CBOE S&P 500 Short-Term Volatility Index (VXST) up 15.5% to 10.96; compared to its 10-day moving average of 11.06. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2
 
CBOE DJIA BuyWrite Index (BXD) up 0.2% 266.23, compared to its 50-day moving average of 260.85. cboe.com/micro/bxd/
 
CBOE Volatility Index (VIX) up 2.8% to 11.70. VIX June 15, 18 calls & June 14 puts active on 259K contracts @ CBOE cboe.com/VIX
 
iPath S&P 500 VIX Short-Term Futures (VXX) down 73c to 34.22.
 
CBOE DJIA Volatility Index (VXD) up 4.4% to 10.94; compared to its 50-day moving average of 12.88.  
 
CBOE Nasdaq-100 Volatility Index (VXN) up 3.5% to 13.92; compared to its 50-day moving average of 17.39  
 
S&P 100 Options (OEX) recently up $3.26 to $845.88 as orders for long-lasting U.S. manufactured goods rose in April and consumer confidence rose in May.