Pretty slow pre-market activity as stock futures move to the upside. Europe lower, Asia mixed to lower. JOLTS an hour into todays session, and Alcoa earnings after the close get the earnings season rolling. Overall option volume at 19.8mm contracts, 900k SPX and 700k VIX.
Volatility as an asset class
CBOE Volatility Index NASDAQ 100 (VXN) at 20.04, above its 10-day moving average of 17.88.
CBOE DJIA Volatility Index (VXD) at 14.51, above 10-day moving average of 13.35.
CBOE Russell 2000 Volatility Index (RVX) at 21.93, above 10-day moving average of 20.16.
CBOE 100 Volatility Index (VXO) at 14.26, above 10-day moving average of 13.06.
CBOE S&P 500 3-month Volatility Index (VXV) at 15.90, above 10-day moving average of 15.22. www.cboe.com/micro/volatility/
CBOE Crude Volatility Index (OVX) at 18.64, compared to its 10-day moving average of 19.08.
Options expected to be active @ CBOE: GIMO FB GM AA
CBOE S&P 500 PutWrite Index (PUT) at 1395.50, compared to its 10-day MA of 1404.86 and its 50-day moving average of 1385.11. cboe.com/PUT
CBOE S&P 500 BuyWrite Index (BXM) at 1036.29, compared to its 10-day moving average of 1044.05 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 257.17, compared to its 50-day moving average of 258.46 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.08, compared to its 10-day moving average of 13.89. 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 3c to 42.83 in the premarket.
CBOE Volatility Index (VIX) at 15.57, compared to its 10-day moving average of 14.09 and its 50-day moving average of 15.21 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is flat, as The Nasdaq Composite Index fell to its third consecutive decline and its biggest three-day percentage fall since November 2011.
Calls with increasing volume at CBOE:
EWJ 9/20/2014 11 16K contracts
NOK 7/19/2014 9 15K
YHOO 7/19/2014 42 13K
FOXA 7/19/2014 37 12K
FB 5/17/2014 67.50 10K
BAC 4/19/2014 17 10K
SHLD1 1/17/2015 70 10K
SPY 4/25/2014 188.50 10K
MU 7/19/2014 25 8K