A few earnings reports trickling in this morning, nothing earthshaking. Overseas markets mixed, 10-year ticks up to 2.62%. 48 hours until World Cup. Volatility as an asset class:
Francesca’s (FRAN) is down $1.38 to $13.90 in the premarket on boutique operator sees Q2 EPS 24c-29c, consensus 36c. June call option implied volatility is at 94, July is at 58, September is at 50; compared to its 26-week average of 52.
Burlington Stores (BURL) is up $0.94 to $29.11 in the premarket after reporting Q1 adjusted EPS 25c, consensus 22c. Overall option implied volatility of 51 is above its 26-week average of 42.
Options expected to be active @ CBOE: CHS IGT CLX DNDN LE ULTA TWTR BEAV ANF MET
CBOE S&P 500 BuyWrite Index (BXM) at 1079.34, compared to its 10-day moving average of 1079.32 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 267.82, compared to its 50-day moving average of 262.49 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 9.77, compared to its 10-day moving average of 10.42. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
iPath S&P 500 VIX Short-Term Futures (VXX) down 17c to 30.91
CBOE Volatility Index (VIX) closed at 11.15, compared to its 10-day moving average of 11.52 and its 50-day moving average of 13.15.
SPDR S&P 500 ETF Trust (SPY) is down 37c to $195.21 as CPI inflation rose to 2.5% y-o-y in May from 1.8% in April (Consensus: 2.4%), while PPI inflation continued to improve to -1.4% y-o-y from -2.0% (Consensus: -1.5%).
Calls with increasing volume at CBOE Monday:
SPY 6/13/2014 196 25K
VXX 1/17/2015 90 25K
EBAY 7/19/2014 52.50 24K
AAPL 6/13/2014 94.29 13K
XLK 6/21/2014 38 12K