Blogging Options: CBOE Morning Update 1.24.14

DJ futures off 75, S&P lower by 10 points.  Most of the earnings reports after the close and this morning beat (some were lowered) estimates.  Traders are watching overseas markets and currencies, USD very strong.   Good option day yesterday as ~19 mm options trade hands, SPX with 545k and VIX with 787k.  Warmer this morning than yesterday, all the way up to +3…. but the wind…  If the cold weather has you down, remember that the CBOE Risk Management Conference March 17th in Bonita Springs is fast approaching. More details soon.

Volatility as an asset class

Microsoft (MSFT) is up $1.06 to $37.11 in the premarket after reporting Q2 EPS $0.78, compared to consensus 0.68. January weekly call option implied volatility is at 99, February is at 28, March is at 26, April is at 23; compared to its 26-week average of 26.

Starbucks (SBUX) is up $0.86 to $74.25 after reporting Q1 EPS $0.71, compared to consensus 0.69. January weekly put option implied volatility is at 71, February is at 26, April is at 23; compared to its 26-week average of 24.

Juniper (JNPR) is up $1.49 to $27.50 in the premarket after reports preliminary Q4 EPS 43c, compared to consensus 37c. Overall option implied volatility of 39 is above its 26-week average of 34.

Options expected to be active @ CBOE: AAPL AMZN AA PG SBUX NFLX ARIA MSFT XRX JNPR

CBOE S&P 500 BuyWrite Index (BXM) closed at 1021.74, above its 50-day moving average of 1009.18 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 254.81, above its 50-day moving average of 252.64 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.21, compared to its 10-day moving average of 11.82. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Skew Index (SKEW) 135.71, above 50-day moving average of 132.21. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE Volatility Index (VIX) closed at 13.77, above its 10-day moving average of 12.73 and its 50-day moving average of 13.44. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 81c to $181.98 on global currency concerns.

Calls with increasing volume at CBOE:

SPY 1/24/2014 183 14K
GDX 6/21/2014 26 13K
QQQ 2/22/2014 90 12K
AA 6/21/2014 10 12K
VXX 2/7/2014 43 11K
BAC 1/31/2014 17 10K
GM 1/17/2015 40 10K