Blogging Options: CBOE Morning Update 7.23.14

Boeing beat and tweaked guidance higher, Pepsi up $1.80 and also gives upbeat guidance. Overseas markets higher, metals off. 10-year stuck in a tight range near 2.46%.  Chicago Bears report to training camp today.  I’m not sure summer has arrived in Chicago yet.  Weather perfect for sweet corn this year.  Volatility as an asset class:

Apple (AAPL) is higher by $0.50 to $95.22 in the premarket on Q2 profit growth of 12% and strong sales. July weekly call option implied volatility is at 68, August is at 28, September is at 24, October and January is at 23; compared to its 26-week average of 26.

Microsoft (MSFT) is up $0.82 to $45.65 on Q4 profit declining 7.1% as the company acquiring Nokia’s (NOK) money losing cellphone business. July weekly call option implied volatility is at 57, August is at 29, October is at 20; compared to its 26-week average of 20.

Puma Biotechnology (PBYI) is up $151  (that’s right, and they have no products in the marketplace at this time – it’s a breast cancer drug)  after reporting positive top line results from Phase III PB272 trial. August call option implied volatility is at 142, September is at 116 December is at 97; compared to its 26-week average of 98.

Options expected to be active @ CBOE:  MSFT AAPL AMZN WHR ISRG QCOM BRCM PBYI XLNX JNPR

CBOE SKEW INDEX (SKEW) at 136.37, above 50-day MA of 130.77. 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 1096.10, compared to its 10-day moving average of 1088.37 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 271.50, compared to its 50-day moving average of 267.34 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.54, compared to its 10-day moving average of 11.84. 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 27.75.

CBOE Volatility Index (VIX) closed at 12.24, compared to its 10-day moving average of 12.27 and its 50-day moving average of 11.79. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 18c to $198.38 as international markets rise on earnings.

Calls with increasing volume at CBOE:
EEM    12/20/2014  49 40K contracts
CMCSA 8/1/2014    55 23K
EMC    10/18/2014 29 17K
SPY      9/20/2014  200 16K

Puts with increasing volume at CBOE:
SPY  8/16/2014  192   56K contracts
IWM 8/16/2014  115  18K
VXX  7/25/2014  27.50 11K