May Income reported as up 0.4% and Spending higher by 0.2%. PCE Deflator showing a little more inflation. Futures mixed. World Cup Fever starts 11:00am CDT. Good article yesterday here on SKEW Index from Matt Moran, a must read. Volatility as an asset class:
Lennar (LEN) is up $0.30 to $41.82 in the premarket after the homebuilder reported Q2 EPS 61c, compared to consensus 51c. Q2 revenue was $1.82B, compared to consensus $1.68B. July call option implied volatility is at 30, August is at 29, November is at 26; compared to its 26-week average of 31.
Philip Morris (MO) is down 28c to $41.75 in the premarket after the cigarette maker lowered its 2014 EPS outlook citing charges from ceasing production in Australia and Netherlands, as well as currency impacts. Overall option implied volatility of 14 is near its 26-week average of 15.
Bed Bath and Beyond (BBBY) is down $4.91 to $56.20 in the premarket after the home-furnishings retailer’s Q1 earnings fell 7.6%. June weekly call option implied volatility is at 109, July is at 41, August is at 31, November is at 22; compared to its 26-week average of 26.
Options expected to be active @ CBOE: IRM BBBY LEN AA SLB LVS PM ACN MKC NBR FUL BIG NFLX
CBOE S&P 500 BuyWrite Index (BXM) at 1077.92, compared to its 10-day moving average of 1078.59 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 266.84, compared to its 50-day moving average of 264.74 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.11, compared to its 10-day moving average of 11.30. 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 down 19c to 29.67
CBOE Volatility Index (VIX) closed at 11.59, compared to its 10-day moving average of 11.62 and its 50-day moving average of 12.42.
SPDR S&P 500 ETF Trust (SPY) is down 13c to $195.45 as the Bank of England took less aggressive action than expected to cool strong UK housing market.
Calls with increasing volume at CBOE:
SIRI 12/20/14 3.50 65K contracts
WY 7/19/2014 38 14K
AAPL 6/27/2014 90 11K
SPY 8/16/2014 200 10K
NKE 6/27/2014 80 8K
AAPL 8/16/2014 100 7K
FB 6/27/2014 67 7K
VLO 8/16/2014 55 6K
BAC 8/16/2014 16 6K