CBOE Mid-Day Update 7.17.14

VIX up 15% and VXST up 24%.  Option volume fairly heave this morning as news out of Ukraine rattles the market.  SPX off $10, DJIA lower by 60 points and RUT off ~9 points. CBOE trades 3.8 million of the 14 million options by mid-day. SPX trades 540k and VIX with 640k. VIX Futures show 145k changing hands.

Microsoft (MSFT) igave up early gains and is now flat,  $44.79, announcing restructuring and plans to cut up to 18K jobs.  August weekly call option implied volatility is at 28, August is at 30, September and October is at 20; compared to its 26-week average of 20.

Dresser-Rand (DRC) is up $6.87 to $67.38 on reports Siemens (SIEGY) is working with Lazard on a takeover bid for Dresser-Rand (DRC). August call option implied volatility is at 37, December is at 29; compared to at its 26-week average of 25.

Morgan Stanley (MS) is down 4c to $32.48 after reporting Q2 EPS 94c, compared to consensus 55c on Q2 revenue of $8.6B, consensus $8.19B.  August call option implied volatility is at 20, September is at 19, October is at 21; compared to its 26-week average of 26.


Stocks with increasing volume @ CBOE: DD APA FXC TSEM JRJC MAT MTG PRAN SEAS BURL

CBOE S&P 500 Short-Term Volatility Index (VXST) is up $2.41 to 12.67; compared to its 10-day moving average of 10.55. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE Volatility Index (VIX) up 1.62 to 12.62. VIX July 13, 14, 15, 16 and 19 calls are active on 615K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 73c to 27.99.

S&P 100 Options (OEX) is down $4.90 to 875.58 after multiple media outlets reported that a Malaysia Airlines plane had crashed in Ukraine today after possibly being shot down.

Calls with increasing volume at CBOE:

SPY     7/19/2014   198   11K contracts
AAPL  7/19/2014    95     10K
INTC  7/19/2014   34.50 10K
IWM   9/20/2014   121     9K
MSFT 7/19/2014    46      8K
DD   10/18/2014    65      6K

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