Blogging Options: CBOE Morning Update 8.1.14

Big day in the options world yesterday.  ~26mm contracts change hands with 8mm trading at CBOE.  SPX showed 1.44mm and VIX with 1.34 mm contracts.  VIX Futures had a robust 374k trade.  VXST up sharply.

This morning, NFP for July with a gain of 209k jobs.  227k to 230k gain was expected.  Unemployment rate rises to from 6.1% 6.2%.  May and June with slight revisions higher in jobs added.  Participation Rate up one tick to 62.9%. DJIA Futures had been off ~120 points, now unchanged.  DAX off 1.75% before jobs numbers, rest of Asian and European stocks lower. Scientific Games in bid for Bally. 10-year 2.54%.

Volatility as an asset class

Tesla Motors (TSLA) is up $2.20 to $226.34 in the premarket after reporting Q2 results and announcing that it broke ground on a possible Gigafactory location in Reno, Nevada.  August call option implied volatility is at 60, September is at 49, December is at 46; above its 26-week average of 52.

LinkedIn (LNKD) is higher by $13.46 to $194.10 after reporting better than expected Q2 results and guidance for Q3 and fiscal 2014. August call option implied volatility is at 58, September is at 47, November is at 41; compared to its 26-week average of 48.

Expedia (EXPE) is up $2.26 to $81.68 in the premarket after reporting Q2 results above analyst estimates and raising its quarterly dividend. August call option implied volatility is at 60, September is at 43, January is at 34; above its 26-week average of 37.

Options expected to be active @ CBOE: BYI SGMS PCLN WWWW NFLX TSLA GPRO MT LNKD NVS DDD FB EXPE

CBOE Interest Rate 5 Year Note (FVX) at 17.63, above 50-day moving average of 16.57.

CBOE SKEW INDEX (SKEW) at 128.71, below 50-day MA of 131.736. 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 1077.26, compared to its 10-day moving average of 1093.22 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 264.79, compared to its 50-day moving average of 268.10 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.59, compared to its 10-day moving average of 12.84. 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 up 1.14 to 32.67

CBOE Volatility Index (VIX) closed at 16.95, compared to its 10-day moving average of 12.92 and its 50-day moving average of 11.88. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 93c to $192.15 on Fed policy uncertainty, sanctions on Russia, Argentina’s default, deflation worries in Europe and earnings concerns.

Calls with increasing volume at CBOE:

RSH   1/15/2016  1 36K contracts
WMB 8/16/2014  50 20K
BBY    9/20/2014  35 20K
SPY    8/1/2014  195 19K
AAPL 8/1/2014    97 17K
VXX   8/1/2014     31 11K

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