Blogging Options: CBOE Morning Update 7.15.14

Asian stocks higher, European shares and oil lower. Retail Sales grew at a very modest 0.2% (+0.5% to 0.6% expected).  Bonds flat.  Earnings look slightly better than consensus so far.  Watching last nights Home Run Derby I thought a soccer game broke out.  70 degrees in Chicago today – we’ll take it. Volatility as an asset class

JP Morgan (JPM) is up $1.39 to $57.68 in the premarket on better than expected Q2 profit and trading revenue.  July call option implied volatility is at 29, August is at 19, October is at 16; compared to its 26-week average of 18.

Goldman Sachs (GS) is up $2.50 to $169.00, Q2 results. July call option implied volatility is at 31, August is at 18, October is at 17 and January is at 16; compared to its 26-week average of 22.

Johnson & Johnson (JNJ) is up $0.32 to $105.70 in the premarket on better than expected results helped by new product introductions and increased its guidance. July call option implied volatility is at 19, August is at 13, October is at 12; compared to its 26-week average of 13.

Options expected to be active @ CBOE:  GS JPM BAC BBBY YHOO PLUG JWM TWTR INTC JNJ KORS ALB ROC JNJ

CBOE S&P 500 BuyWrite Index (BXM) at 1087.20, compared to its 10-day moving average of 1084.01 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.67, compared to its 50-day moving average of 266.41 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.62, compared to its 10-day moving average of 10.56. 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 1c to 27.47

CBOE Volatility Index (VIX) closed at 11.82, compared to its 10-day moving average of 11.53 and its 50-day moving average of 11.89. cboe.com/VIX

CBOE Nasdaq-100 Volatility Index (VXN) at 13.59, 50-day moving average of 13.99 stks.co/f0TCX

SPDR S&P 500 ETF Trust (SPY) is recently up 18c to $197.56 into Janet Yellen presenting testimony regarding the Federal Reserve’s monetary policy.

Calls with increasing volume at CBOE:

AAPL 10/18/2014 100 16K contracts
VXX 8/16/2014 42 14K
SPY 7/19/2014 198 10K
IWM 12/20/2014 120 10K
BAC 7/19/2014 16 8K

Puts with increasing volume at CBOE:

EEM 10/18/2014 41 16K contracts
SPY 8/16/2014 196 14K
IWM 7/19/2014 112 10K
VXX 7/25/2014 25 10K