Blogging Options: CBOE Morning Update 5.29.14

1Q GDP revised lower, showed a drop of 1.0% (initial estimate a rise of 0.1%)  GDP revisions common, but this far below estimates.  Volatility as an asset class

Costco Wholesale Corp (COST) is down 62c to $113.62 in the premarket after reporting Q3 EPS of $1.07, $0.02 worse than the analyst estimate of $1.09. Revenue for the quarter came in at $25B versus the consensus estimate of $25B. May weekly call option implied volatility is at 53, June is at 15, July and October is at 13; compared to its 26-week average of 17.

Palo Alto Networks (PANW) is up $9.04 to $78.55 9.8% after reporting Q3 EPS of $0.11, $0.01 better than the analyst estimate of $0.10. Revenue for the quarter came in at $150M versus the consensus estimate of $146M. May weekly call option implied volatility is at 145, June is at 64, July is at 53, September is at 48; compared to its 26-week average of 47.

Abercrombie & Fitch (ANF) is up $2.73 to $37.95 in the premarket after reporting Q1 adjusted EPS (17c), consensus (19c) on revenue of $822M, compared to consensus $798.2M. May weekly call option implied volatility is at 167, June is at 56, July is at 55, August is at 39; compared to its 26-week average of 37.

CBOE Equity Volume on May 28; 863,949 calls, 486,654 puts, 1,350,603 total

Options expected to be active @ CBOE: PANW ICPT JNPR SNN AAPL BBRY ISPT ANF S TWTR

CBOE S&P 500 BuyWrite Index (BXM) at 1074.92, compared to its 10-day moving average of 1068.80 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.07, compared to its 50-day moving average of 261 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.58, compared to its 10-day moving average of 11.01. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) down 15c to 33.63

CBOE Volatility Index (VIX) closed at 11.68, compared to its 10-day moving average of 12.16 and its 50-day moving average of 13.66 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 28c to $191.866 after another record close.

Calls with increasing volume at CBOE:
$VXX 6/21/2014 47 12K contracts
$SPY 5/30/2014 193 9K
$AAPL 5/30/2014 630 8K
$F 6/6/2014 16.50 6K
$SINA 6/21/2014 50 5K

Puts with increasing volume at CBOE:

$SPY 6/30/2014 190 45K contracts
$VXX 1/17/2015 20 15K
$WLT 1/15/2016 5 12K