Happy Triple Witch Friday. Pretty active day in the options market yesterday as CBOE trades over 5.4mm of the 20.7mm contracts traded. SPX with 1.15mm and VIX traded 715k. VX Futures with a more average volume of 152k. Volatility as an asset class
Oracle (ORCL) is down $2.49 to $40.05 in the premarket following an earnings miss from the company for its Q4. July call option implied volatility is at 27, August is at 22, September is at 20; compared to its 26-week average of 23.
Shire (SHPG) is up $30.25 to $221.96 after the London based specialist in drugs to treat attention-deficit disorder and rare diseases rejected a $46B bid from U.S. rival AbbVie (ABBV). July call option implied volatility is at 42, October is at 37, January is at 31; compared to its 26-week average of 33.
Family Dollar (FDO) is up $1.71 to $69.85 in the premarket on Carl Icahn sending a letter to CEO urging an immediate sale. Overall option implied volatility of 30 is near its 26-week average of 29.
Options expected to be active @ CBOE: KMX DRI AKS NGLS TRGP ORCL SHPG ABBV FDO DG
CBOE S&P 500 BuyWrite Index (BXM) at 1080.04, compared to its 10-day moving average of 1079.43 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 268.09, compared to its 50-day moving average of 263.92 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.07, compared to its 10-day moving average of 10.83. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 8c to 29.25
CBOE Volatility Index (VIX) closed at 10.62, compared to its 10-day moving average of 11.51 and its 50-day moving average of 12.77.
SPDR S&P 500 ETF Trust (SPY) erased early pre-market losses and is now unchanged. Stock futures are trading near fair value ahead of today’s “quadruple witching” day. Today the stock index futures, stock index options, stock options, and single stock futures will all expire. Such a day occurs only once each quarter.
Calls with increasing volume at CBOE:
SPY 12/31/2014 215 61K contracts
XLP 6/21/2014 45 47K
USO 6/27/2014 40.50 26K
AAPL 6/21/2014 92.14 13K
Puts with increasing volume at CBOE:
VXX 6/21/2014 28 17K contracts
SPY 7/19/2014 195 14K
IWM 7/19/2014 110 13K
BBRY 6/21/2014 9 9K