CBOE Mid-Day Update 6.12.14

Tesla Motors announced that it will free up its patents to allow everyone to use their battery technology “for the advancement of electric vehicle technology,” (TSLA) was up over $5.50, now is up $1.00 to $205.48.  June call option implied volatility is at 39, July is at 38, September is at 42; compared to its 26-week average of 55.

Option volume picks up a little by mid-day, as CBOE trades 2.15 mm contracts out of 11.5mm overall,  420k SPX options trade and 435k VIX options change hands.

Twitter (TWTR) is up $1.32 to $36.88 after its COO resigns.  June call option implied volatility is at 46, July is at 45, September is at 53; compared to its 26-week average of 57.

Delta Air (DAL) is down $2.20 to $38.50 as oil prices move above $106. June call option implied volatility is at 36, July is at 35, September is at 34; compared to its 26-week average of 34 according to Track Data, suggesting non-directional price movement.

Facebook (FB) is down $0.53 to $65.24.  June call option implied volatility is at 32, July is at 34, September is at 39; compared to its 26-week average of 42.

Actives at CBOE:  AAPL TWTR AMZN SIRI TSLA AMAT MO CLF AMZN FB

Stocks with increasing volume @ CBOE: OWW IYT AR RH ROSE AMJ GERN SU IDTI LULU CBSO

CBOE S&P 500 Short-Term Volatility Index (VXST) up 0.75 to 11.20; compared to its 10-day moving average of 10.36. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 267.63, compared to its 50-day moving average of 263.02 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 0.54, 4.7% to 12.15. VIX June 13, 14 and 15 calls are active on 349K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.52 to 31.41.

CBOE DJIA Volatility Index (VXD) up 3.2% to 11.61; compared to its 50-day moving average of 12.20.

CBOE Nasdaq-100 Volatility Index (VXN) up 3.5% to 13.82; compared to its 50-day moving average of 16.55

S&P 100 Options (OEX) down 4.12 to $857.20 after retail sales rose less than expected in May and first-time unemployment claims increased last week.