CBOE Mid-Day Update 7.2.14

Holiday-type trading, as major indexes creep higher and volatility is squeezed lower.  CBOE with ~2.5mm of 9 million options contracts traded.  SPX with 460k and VIX showing 240k volume.  NFP report before the opening, then off to the beach and parade.  Volatility as an asset class:

JPMorgan Chase (JPM) is down 68c to $58.69 as chairman and CEO Jamie Dimon announced he has been diagnosed with throat cancer. July call option implied volatility is at 17, August is at 16, December is at 17; compared to its 26-week average of 19.

Constellation Brands (STZ) is up $2.65 to $91.04 as the beer and wine maker reported Q1 results beat expectations and the company raised its FY15 earnings view. July, August and November call option implied volatility of 19 is below its 26-week average of 24.


Stocks with increasing volume @ CBOE:  SFLY RICE BC TS PTEN NQ DAL OXY COH

CBOE S&P 500 Short-Term Volatility Index (VXST) is down 0.67c to 9.38; compared to its 10-day moving average of 10.63. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 21c to 268.31, compared to its 50-day moving average of 265.44 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.41 to 10.74. VIX July 12, 13 and 17 calls are active on 238K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 33c to 27.51.

CBOE DJIA Volatility Index (VXD) down 2.8% to 10.18; compared to its 10-day moving average of 10.73.

CBOE Nasdaq-100 Volatility Index (VXN) down 36c to 11.62; compared to its 50-day moving average of 14.64.

S&P 100 Options (OEX) is up $1.66 to 873.10 after ADP’s hiring report gave some reassurance that tomorrow’s monthly non-farm payroll report may be a strong one.