Blogging Options: CBOE Morning Update 2.4.14

Record volume in VIX options yesterday, full details below in previous story by Russell Rhoads.  2,382,752 contracts changed hands.  Overseas markets weak, with NIKKEI off ~4%.  US futures up slightly.  MSFT up 1% on Nadella named as Chairman.  10-year up to 2.61%.   It is not known if the first words from that fisherman found in the Marshall Islands after his 14-months lost at sea was where is SPX?  It was near 1425 when he set sail on a 3-hour cruise.

Volatility as an asset class

Yum! Brands (YUM) is up $3.24 to $69.40 in the premarket after reporting earnings that beat estimates with revenues that fell short of expectations, as China Division same-store sales fell 4%. February call option implied volatility is at 34, April is at 31, July is at 26; compared to its 26-week average of 25.

Toyota’s (TM) is down $1.35 to $111.20 on FQ3 net profit jumping over fivefold to $5.2B. Overall option implied volatility of 23 is near its 26-week average of 24.

BP (BP) is down $0.44 to $45.45 after Q4 profit decreasing 28% to $2.8B. February call option implied volatility is at 27, March is at 21, April is at 19; compared to its 26-week average of 17.

Michael Kors (KORS) is up $15.27 to $92 in the premarket after the luxury goods company reported Q3 EPS of $1.11, compared to consensus 86c. February weekly call option implied volatility is at 117, March is at 74, August is at 36; compared to its 26-week average of 37.

Options expected to be active @ CBOE: JCP TWTR SIRI ATMI BWLD YUM QIHU KORS TWTR BP ZNGA ARMH FB HOLX NUS CME TTWO MSFT VIX

CBOE S&P 500 BuyWrite Index (BXM) at 980, below its 50-day moving average of 1009.93. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 242.63, below its 50-day moving average of 252.60. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 23.95, compared to its 10-day moving average of 17.67 VXST is a market-based gauge of expectations of 9-day volatility.  cboe.com/vxst

CBOE Volatility Index (VIX) at 21.44, above its 10-day moving average of 16.53 and its 50-day moving average of 14.18. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 63c to $174.81 as Japan’s Nikkei closed down 4%, markets in Europe fell, as investors divert their attention from emerging markets to the U.S. economy, ahead of January’s jobs report on Friday.

Calls with increasing volume at CBOE:

SPY 4/19/2014 190 51K contracts
CNQ 9/20/2014 34 27K
BAC 5/17/2014 18 21K
GLD 12/20/2014 130 20K
VXX 2/22/2014 52 18K

Puts with increasing volume at CBOE:

SPY 3/22/2014 175 48K contracts
XLF 4/19/2014 20 47K