Blogging Options: CBOE Morning Update 7.22.14

Average option volume day yesterday as ~19mm contracts trade.  SPX showed 590k and VIX with 355k.  VIX Futures with 174k.  Six DJIA components report Q2 results today.  KO off $1 on narrow miss, VZ up $0.40. DD up fractionally on light volume.   CPI rose 0.3% in June (2.1% ytd) Core up 0.1%. Volatility as an asset class:

Netflix (NFLX) is down $1.43 to $450.66 in the premarket after reporting solid Q2 results with continued international subscription strength. July weekly call option implied volatility is at 117, August is at 50, September is at 41,  December is at 40; compared to its 26-week average of 44.

Chipotle Mexican Grill (CMG) is up $62.48 to $652.40 on better than expected Q2 results last night. July weekly call option implied volatility is at 92, August is at 45, September is at 33, December is at 28; compared to its 26-week average of 32.

McDonald’s (MCD) is down $2.55 to $95 in the premarket on Q2 EPS $1.40, compared to consensus $1.44. July weekly call option implied volatility is at 23, August is at 14, September is at 13, and December is at 12; compared to its 26-week average of 14 according to Track Data, suggesting large near term price movement into the expected release of Q2 on July 22.

Options expected to be active @ CBOE: HLF MSFT AAPL AMZN ARMH NFLX CMG TXN KO DPZ UTX MCD PLUG AAPL FCEL FB

CBOE SKEW INDEX (SKEW) at 138.75, above 50-day MA of 130.55. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE S&P 500 BuyWrite Index (BXM) at 1093.08, compared to its 10-day moving average of 1086.92 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.77, compared to its 50-day moving average of 267.18 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.95, compared to its 10-day moving average of 11.85. 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 60c to 27.71.

CBOE Volatility Index (VIX) closed at 12.81, compared to its 10-day moving average of 12.24 and its 50-day moving average of 11.80. cboe.com/VIX

CBOBE Volume; 989,087 call, 612,984 put, 1,602,071 total CBOE.com

SPDR S&P 500 ETF Trust (SPY) is up 0.64 to $197.98 on strong corporate earnings.

Calls with increasing volume at CBOE:

TWTR 8/16/2014    42      9K
SPY     7/25/2014  198      6K
UAL     9/20/2014   50      5K
DG     11/22/2014  57.50 5K
VXX      8/29/2014   32     5K
BP        1/17/2015   50    5K