Blogging Options: CBOE Morning Update 6.24.14

Case-Shiller Home Prices rose 1.1% (0.9% expected, 1.2% previous), but traders looking at Dubai stock market off 8% (following a ~4% drop in the previous session).  Metals fractionally higher.  VIX Futures trade ~9,700 contracts in extended session. Have you been watching SKEW? Volatility as an asset class:

Micron (MU) is up 0.34 to $31.60 in the premarket after the memory chip manufacturer reported stronger than expected results. June weekly call option implied volatility is at 70, July is at 48, August is at 43, October is at 39; compared to its 26-week average of 43.

Vertex (VRTX) is up $32.91 to $101 after the biotech company said Phase 3 studies of Lumacaftor/Ivacaftor met their primary endpoint. Vertex June weekly call option implied volatility is at 137, July is at 150, August is at 142, October is at 90; compared to its 26-week average of 73.

Walgreen (WAG) is down $2.13 to $71.60 in the premarket after reporting Q3 adjusted EPS 91c, consensus 94c and the company says it’s experiencing increased pressure on pharmacy gross profit margins. June weekly call option implied volatility is at 63, July is at 37, August is at 32, October is at 28; compared to its 26-week average of 25.

Options expected to be active @ CBOE: VRTX AAPL BCS ALU CCL ORCL WAG NKE MU GIS APOL MON SONC WAG VX

CBOE S&P 500 BuyWrite Index (BXM) at 1078.73, compared to its 10-day moving average of 1079.30 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 267.60, compared to its 50-day moving average of 264.30 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.27, compared to its 10-day moving average of 10.98. 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 33c to 29.16

CBOE Volatility Index (VIX) closed at 10.98, compared to its 10-day moving average of 11.51 and its 50-day moving average of 12.61.

SPDR S&P 500 ETF Trust (SPY) is down 41c to $195.51 as European stocks fall

Calls with increasing volume at CBOE:

AMAT 1/17/2015 24 28K contracts

VXX    7/19/2014 38 19K

AMAT 1/17/2015 20 17K

SPY     7/3/2014 196 15K

MTOR 1/15/2016 10 10K

VVUS  9/20/2014  6   9K

VRS 12/20/2014 2.50 9K
JPM   7/19/2014  55   9K

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