Blogging Options: CBOE Morning Update 1.28.14

Volatility as an Asset Class

Apple (AAPL) is recently down $38.80 to $511.70 in the premarket after reporting Q1 earnings and revenue that beat expectations, but the company gave a second quarter revenue outlook that came in below expectations. Apple also reported it sold 51M iPhones, 26M iPads, and 4.8M Macs during the quarter. January weekly call option implied volatility is at 94, February is at 37, March is at 34; above its 26-week average of 28. – AAPL Volatility – www.cboe.com/vxapl
Seagate (STX) is recently down $3.05 to $55 in the premarket on Q2 profit falling 13%. January weekly call option implied volatility is at 69, February is at 37, April is at 33; compared to its 26-week average of 32.

Texas Industries (TXI) is recently up 71c to $72.25 in the premarket on Martin Marietta Materials (MLM) paying Texas Industries shareholders 0.700 of Martin Marietta shares for each share of common stock they own. Overall option implied of 37 is near its 26-week average of 36.
Options expected to be active @ CBOE: AAPL UNG TXI MLM CMCSK F CLF FB F YHOO
CBOE S&P 500 BuyWrite Index (BXM) closed at 1000.76, below its 50-day moving average of 1009.55 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) closed at 249.75, below its 50-day moving average of 252.71 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 19.04 now down 1.54. to 17.50 compared to its 10-day moving average of 13.64. VXST is a market-based gauge of expectations of 9-day volatility.     cboe.com/vxst
CBOE S&P 500 Skew Index (SKEW) 128.73, below its 50-day moving average of 132.31. 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 17.42, above its 10-day moving average of 13.78 and its 50-day moving average of 13.64.  VIX now down 0.71 to 16.71 – overnight VIX futures volume topped 14,000 contracts.  cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 72c to $178.73 as treasuries and other core sovereign bonds trade lower, while European equity futures advance.

Calls with increasing volume at CBOE:

C 4/19/2014 57.50 75K contracts JPM 4/19/2014 60 46K DXJ 1/31/2014 49 26K VXX 2/22/2014 60 20K SPY 2/22/2014 183 10K NRG 6/21/2014 28 10K