Blogging Options: CBOE Morning Update 6.10.14

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 DJIA BuyWrite Index (BXD) at 267.82, compared to its 50-day moving average of 262.49

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
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