Budget deal in Congress seems to have been baked into the market, as stock futures little changed. Oil lower, metals mixed. 10-year auction later this morning.
Today at 3:30pm Chicago time Russell Rhoads of our Options Institute will have a 30-minute free webcast, the topic is the CBOE Short-Term Volatility Index (VXST) which was introduced in early October. Details can be found on the cboe.com home page.
Volatility as an asset class
Home Depot (HD) is down $0.05 to $78.56 in the premarket after reaffirming its outlook for 2013, seeing FY14 sales growth 5% and EPS growth 17%. Overall option implied volatility of 20 is near its 26-week average of 21.
Costco (COST) is down $2.04 to $118 on Q1 profit rising 2.2%, but the wholesale club’s revenue grew less than anticipated. December call option implied volatility is at 17, January is at 16, April is at 15; compared to its 26-week average of 18.
MasterCard (MA) is up $31.38 to $794.98 after announcing a 10-for-1 stock split, an 83% increase in its dividend, and a new $3.5B share repurchase program. Overall option implied volatility of 22 is at its 26-week average.
Joy Global (JOY) is down $2.49 to $53.75 after the underground mining equipment manufacturer reported Q4 earnings decreased 87%. December weekly call option implied volatility is at 62, December is at 36, January is at 32, April is at 30; compared to its 26-week average of 34.
CBOE Crude Oil Volatility Index (OVX) closed @ 17.95, below its 50-day moving average of 20.55. WTI Crude Oil is trading above $98 www.CBOE.com/OVX
CBOE Gold ETF Volatility Index (GVZ) closed at 19.63, below its 50-day moving average of 21.58 GLD is recently down -0.5% to $121.21 in premarket www.cboe.com/GVZ
CBOE S&P 500 BuyWrite Index (BXM) closed at 1003.24, above its 50-day moving average of 985.29. www.cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) closed at 250.90, above its 50-day moving average of 246.48. http://www.cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.65. VXST is a market-based gauge of expectations of 9-day volatility. cboe.com/vxst
CBOE Volatility Index (VIX) closed at 13.91, near its 10-day moving average of 13.92 and its 50-day moving average of 14.25. www.cboe.com/VIX
CBOE DJIA Volatility Index (VXD) closed @ 13.24, below its 50-day moving average of 13.55 www.cboe.com/VXD
Options expected to be active @ CBOE: TSLA HD MA V COST JOY CAT DE ALU BBRY FB TWTR
SPDR S&P 500 ETF Trust (SPY) up $0.16 to $180.92 after Washington budget negotiators reached an agreement that if approved by the House and Senate, could avoid another government shutdown on January 15.
Calls with increasing volume at CBOE:
SPY 1/3/2014 186 18K contracts
BAC 1/18/2014 15 9K
VXX 3/22/2014 46 7K
Puts with increasing volume at CBOE:
EEM 1/18/2014 40 17K contracts
SPY 1/18/2014 179 8K
XLF 3/22/2014 20 5K
AAL2 4/19/2014 30 5K
MS 12/21/2013 30 5K
F 1/17/2015 15 5K
IWM 5/17/2014 104 5K