Blogging Options: CBOE Morning Update 7.11.14

Stock index futures mixed to off fractionally in light pre-market trade.  Yesterday VIX futures traded ~60k in extended hours, a record.  Traders digesting news that economists lowering Q2 GDP estimates substantially but only lowering 2014 year end slightly.  Bull market continues.  Speaking of bulls, we heard Chicagoan Bill Hillmann being interviewed on WGN radio this morning.  He is the author of How to Survive the Bulls of Pomplona.  You guessed it, he’s in a hospital in Pomplona, gored while running Wednesday.  Don’t get in the way of this bull market!

Volatility as an asset class

Lorillard (LO) is up $3.06 to $66.15 on Reynolds American (RAI) confirming that it is in discussions with Lorillard regarding a possible acquisition. Overall option implied volatility of 35 is above its 26-week average of 27.

Wells Fargo (WFC) is down $0.41 to $51.40 after reporting inline Q2 EPS of $1.01.  July call option implied volatility is at 23, August is at 19, October is at 16; compared to its 26-week average of 16.

Facebook (FB) is up $0.52 to $65.39 in the premarket as Deutsche Bank believes strong Q2 results should result in a higher share price and recommends adding to Facebook positions at current levels. Overall option implied volatility of 43 is at its 26-week average.

Options expected to be active @ CBOE: LO WFC RAI INFY GPS WHR CUDA

CBOE Volatility Index (VIX) at 12.59, compared to its 10-day moving average of 11.43 and its 50-day moving average of 11.95

CBOE S&P 500 BuyWrite Index (BXM) at 1083.02, compared to its 10-day moving average of 1082.48

CBOE DJIA BuyWrite Index (BXD) at 268.13, compared to its 50-day moving average of 266.15

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.08, compared to its 10-day moving average of 10.57. VXST is a market-based gauge of expectations of 9-day

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 12c to 28.46

CBOE Nasdaq-100 Volatility Index (VXN) 14.13, compared to its 50-day MA 14.14

SPDR S&P 500 ETF Trust (SPY) is recently up 22c to $196.56 in mixed international market trading.

Calls with increasing volume at CBOE:

CBS     7/19/2014  80    23K contracts
AAPL 10/18/2014  96.43 11K
SPY      7/19/2014 198   11K
IWM    9/20/2014 121  10K
GT        7/25/2014  28    9K
SPY     7/19/2014  196   9K
EWJ   7/19/2014    12    8K