10-year yield at 2.51% as several firms lower US growth forecast. U of M report released after the opening. End of quarter Monday. Volatility as an asset class
DuPont (DD) is down $1.95 to $65.55 in the premarket after revising its outlook for Q2 and 2014, due primarily to lower than expected quarterly performance of its Agriculture and, to a lesser extent, Performance Chemicals segments. Overall option implied volatility of 15 is below its 26-week average of 18.
Nike (NKE) is up $2.15 to $79.01 on Q4 earnings rising 5.4%. Several upgrades by analysts. July call option implied volatility is at 25, October and January is at 19, compared to its 26-week average of 22.
Finish Line (FINL) is higher by $1.55 to $30.70 in the premarket after the sporting goods retailer reported Q1 profit more than doubling as sales and margins expanded. July call option implied volatility is at 37, November is at 31; compared to its 26-week average of 33.
Options expected to be active @ CBOE: DD NKE TWTR MON PM FINL KBH MTW HCA FINL CMC PRGS BCS
CBOE S&P 500 BuyWrite Index (BXM) at 1077.42, compared to its 10-day moving average of 1078.43 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 266.70, compared to its 50-day moving average of 264.91 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.26, compared to its 10-day moving average of 11.23. 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 23c to 29.37
CBOE Volatility Index (VIX) closed at 11.63, compared to its 10-day moving average of 11.53 and its 50-day moving average of 12.34. cboe.com/VIX
CBOE Nasdaq-100 Volatility Index (VXN) @ 12.20, 50-day MA 15.19 stks.co/f0TCX
SPDR S&P 500 ETF Trust (SPY) is down 44c to $195 as U.S. indexes trend to a weekly decline.
Calls with increasing volume at CBOE:
SPY 6/27/2014 196 23K
RAD 8/1/2014 7.50 20K
PBR 1/17/2015 16 15K
VXX 7/3/2014 30 11K
CL 8/16/2014 70 9K
AAPL 6/27/2014 90 8K
BAC 8/16/2014 16 8K