Weekly Jobless Claims came in slightly higher than consensus at 302k, but the Employment Cost component jumped the most in 6 years. The FED tapering by $10b had little effect on markets yesterday afternoon. XOM off $1.50 after reporting earnings up 28% and a beat in Quarterly revenue. Decent volume yesterday with CBOE trading 4.9mm of 17.6mm options traded. Futures jittery this morning. European stocks lower, Banco Espirito Sancto lost $3.5B Euros last quarter and talk of deflation in Europe. 10-year ~2.59%. VIX Futures trade 21k this morning in extended hours session. Volatility as an asset class
Yelp (YELP) is down $4.71 to $70.75 in the premarket after reporting stronger than expected results. August weekly call option implied volatility is at 186, August is at 75, September is at 61, January is at 52; compared to its 26-week average of 62.
Akamai (AKAM) is off $3.73 to $57 after the online distributor reported a Q2 profit increases of 18%. August weekly call option implied volatility is at 144, September is at 39, January is at 31; compared to its 26-week average of 35.
Whole Foods (WFM) is down $2.08 to $37.03 in the premarket, earnings beat by $0.01 butafter guidance was below expectations. August weekly call option implied volatility is at 99, August is at 44, November and January is at 29; compared to its 26-week average of 33.
CBOE Equity Options Volume on July 30: 1,175,991 calls, 673,820 puts, 1,849,811 total CBOE.com
Options expected to be active @ CBOE: ALU YELP TWTR HOS APA MA DDD YELP GOOG GOOGL MU WFM GLUU HOLX
CBOE SKEW INDEX (SKEW) at 140.54, below 50-day MA of 131.73. 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 1093.86, compared to its 10-day moving average of 1082.22 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 269.47, compared to its 50-day moving average of 268.07 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.29, compared to its 10-day moving average of 12.51. 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 57c to 29.65
CBOE Volatility Index (VIX) closed at 13.33, compared to its 10-day moving average of 12.68 and its 50-day moving average of 11.80. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 93c to $196.09 as disappointing corporate results
Calls with increasing volume at CBOE:
VXX 8/29/2014 33 25K contracts
EEM 9/20/2014 43.50 25K
GM 1/17/2015 40 21K
YHOO 8/16/2014 36 19K
GT 10/18/2014 27 17K
PBI 1/17/2015 30 11K
SPY 8/1/2014 197 10K
IWM 10/18/2014 120 10K