Blogging Options: CBOE Morning Update 2.26.14

Back to sub-zero weather in Chicago with up to 8″ of snow expected for this weekend’s Chicago BlackHawks outdoor game at Soldier Field. European stocks and metals lower, Asian shares mixed. US stock futures point to slightly higher open. TGT shares up $0.68, earnings beat by $0.02 but earnings announcement also had vague warnings about possible future costs of security breach two months ago.

Volatility as an asset class

First Solar (FSLR) is down $7.51 to $50.52 in the premarket on Q4 earnings and revenue fell short of anlayst expectations. February weekly call option implied volatility is at 136, March is at 80, April is at 68, June is at 60; compared to its 26-week average of 56.

Dollar Tree (DLTR) is off $1.73 to $51.75 on the discount retailer sees Q1 EPS 63c-68c, consensus 69c. Overall option implied volatility of 26 is above its 26-week average of 24.

Sodastream (SODA) is up $1.39 to $40.47 on the company sees FY14 revenue to increase 15%. February weekly call option implied volatility is at 131, March is at 80, July is at 59; above its 26-week average of 47.

TASER (TASR) is higher by $1.41 to $20.851 after reporting Q4 EPS of 13c, compared to consensus 6c. March call option implied volatility is at 61, April is at 55 and June is at 53; compared to its 26-week average of 54.

DreamWorks Animation (DWA) is down $4.13 to $31.43 in the premarket after reporting less than expected Q4 results. March call option implied volatility is at 49, April and June is at 41; compared to its 26-week average of 36.

Options expected to be active @ CBOE: LNKD DWA FSLR BBRY SODA SCTY JCP TASR YNDX TGT VIX

CBOE S&P 500 BuyWrite Index (BXM) at 1040.74, compared to its 50-day moving average of 1016.57. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.16, compared to its 50-day moving average of 253.10. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.86, compared to its 10-day moving average of 12.73. VXST is a market-based gauge of expectations of 9-day volatility.  cboe.com/vxst

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 30c to 42.39 in the premarket.

CBOE Volatility Index (VIX) at 13.67, compared to its 10-day moving average of 14.32 and its 50-day moving average of 14.66. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 51c to $185.35 a day after hitting a record high.

Calls with increasing volume at CBOE:

SPY 3/7/2014 185 21K contracts
QQQ 3/22/2014 99 16K
C 4/19/2014 55 14K
HD 3/22/2014 80 11K
CVX 1/17/2015 130 10K
VWO 2/28/2014 39 10K
FIO 6/21/2014 10 8K