Blogging Options: CBOE Morning Update 2.27.14

Durable Goods off 1% (December revised lower by 1%) but Core Rate (X-Aircraft) up 1.7%.  Weekly Claims move higher, Best Buy up $2, Sears higher by $1.50 after bullish forward looking comments.

Volatility as an asset class

Tesla (TSLA)  is up $5.75 to $258.75 after announcing plan to spend $4B-$5B with its partners over the next six years on a “gigafactory” that will produce batteries for the company’s electric vehicles. Tesla itself will invest $2B and it is raising $1.6B of convertible debt to help fund the plant. February weekly call option implied volatility is at 83, March is at 62, June is at 54; compared to its 26-week average of 56.

Workday (WDAY) is up $6 to $106.24 after the human capital and financial management solutions provider reported better than expected Q4 results and guidance. March call option implied volatility of 51, June is at 39; compared to its 26-week average of 38.

J.C. Penney (JCP) is up $1.39 to $7.35 after the company reported a narrower-than-expected loss for Q4, though sales came in below estimates. The retailer said same-store sales for 2013 fell 7.4%, but that it sees same-store sales higher in 2014 by mid-single digits. February weekly call option implied volatility is at 217, March is at 106, April is at 87, August are at 83; compared to its 26-week average of 82.

Options expected to be active @ CBOE: VZ JCP BIDU TSLA BIDU WDAY SHLD DANG CTRX

CBOE S&P 500 BuyWrite Index (BXM) at 1041.21, compared to its 50-day moving average of 1017.49. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.38, compared to its 50-day moving average of 253.26. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.27, compared to its 10-day moving average of 12.76. 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 up 80c to 44 in the premarket.

CBOE Volatility Index (VIX) unchanged at 14.35, compared to its 10-day moving average of 14.31 and its 50-day moving average of 14.64. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) opens up fractionally at $184.60.  Asian shares mainly rose and European equities lower following the events in Ukraine and ahead of testimony from Fed Chair Janet Yellen in the Senate.

Calls with increasing volume at CBOE:

VXX 3/22/2014 80 30K contracts
HYG 3/14/2014 100 15K
AIG 5/17/2014 55 14K
QQQ 6/21/2014 94 13K
SPY 2/28/2014 185.50 12K
GM 3/22/2014 37 11K
XHB 3/22/2014 33 10K