Blogging Options: CBOE Morning Update 8.5.14

Chinese and European economic data soft overnight. Target off ~$2.60 as it lowers forecast. Oil, metals and grains lower overnight.  ISM report 30-minutes into trading day will be watched.  2″ of rain last night in parts of Chicago. Volatility as an asset class

Coach (COH) is up $2.04 to $36.35 in the premarket after reporting Q4 EPS 59c ex-items, compared to consensus 53c; revenue was $1.14B, consensus $1.09B. August weekly calls option implied volatility is at 76, August is at 48, September is at 34, November is at 37, January is at 32; compared to its 26-week average of 29.

CVS Caremark (CVS) is up $1 to $78.37 after reporting better than expected Q2 earnings and revenues. Overall option implied volatility of 19 is at its 26-week average.

AIG (AIG) is up $1.09 to $53.75 in the premarket after reporting Q2 results and an additional $2B share repurchase authorization. August weekly call option implied volatility is at 47, September is at 27, November is at 212 compared to its 26-week average of 23.

Options expected to be active @ CBOE:  TGT ATVI DIS AIG ESI LF THC COH GCI CVS THC MSI NILE GTAT PCLN TGT VIX

CBOE SKEW INDEX (SKEW) at 128.96, below 50-day MA of 131.92. 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 1083.14, compared to its 10-day moving average of 1091.51 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 265.01 compared to its 50-day moving average of 268.07 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.87, compared to its 10-day moving average of 13.73. 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 65c to 32.19

CBOE Volatility Index (VIX) closed at 15.12, compared to its 10-day moving average of 13.65 and its 50-day moving average of 12.05. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.82 to $193.07 as international bond prices pull back.

Calls with increasing volume at CBOE:
F       9/20/2014    17  15K contracts
SPY   9/20/2014  205  13K
IWM  8/16/2014  112 13K
XLF    1/17/2015    23  10K
GRPN 8/16/2014 7.50 10K
AAPL  8/8/2014     98    6K
GFI     1/17/2015     4    6K