Activity picked up yesterday in stocks and options with reports of Russian troop movements and weak economic data. VIX Futures with ~365k contracts traded, SPX 820k and VIX with 586k. Asian stocks lower, European shares off +1%. With Italy’s economy shrinking 0.2% and German orders sliding 3.2% in June, recession chatter picking up. US 10-year with lowest yield in 14-months, below 2.45%. Volatility as an asset class
Time Warner (TWX) is down $11.23 to $73.97 in the premarket after 21st Century Fox (FOXA, FOX) withdrew its bid for the company. August call option implied volatility is at 32, September is sat 29, January is at 24; compared to its 26-week average of 24.
21st Century Fox (FOX) is up $1.82 to $32.85 after its board authorized a repurchase of an additional $6B of Class A Common Stock is expected to be completed in the next 12 months after withdrawing proposal to acquire Time Warner (TWX). Overall option implied volatility of 29 is above its 26-week average of 26.
Sprint (S) is down $1.10 to $6.18 in the premarket on heavy volume, as said to end talks to buy T-Mobile (TMUS). Overall option implied volatility of 49 is near its 26-week average of 50.
T-Mobile (TMUS) is recently down $2.65 to $31.45 on Sprint talks ending. Overall option implied volatility of 35 is below its 26-week average of 38.
Options expected to be active @ CBOE: TWX FEYE FOX GRPN Z WBMD ATVI DIS S TMUS
CBOE SKEW INDEX (SKEW) at 124.62, below 50-day MA of 131.91. 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 1073.30, compared to its 10-day moving average of 1088.23 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 262.80 compared to its 50-day moving average of 268.01 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 17.18, compared to its 10-day moving average of 14.29. 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 60c to 34.39
CBOE Volatility Index (VIX) closed at 16.87, compared to its 10-day moving average of 14.11 and its 50-day moving average of 12.16. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 88c to $191.13 as European stocks drop on military headlines and the unwinding of two large M&A deals.
Calls with increasing volume at CBOE Tuesday:
EEM 9/20/2014 44 10K contracts
EWZ 11/22/2014 60 9K
AAPL 8/8/2014 95 8K
BAC 8/16/2014 16 8K
SPY 8/16/2014 192 8K
Puts with increasing volume at CBOE:
SPY 8/16/2014 195.50 27K
EEM 9/20/2014 42 26K
VXX 9/20/2014 28 20K
IWM 9/20/2014 101 16K
FXI 9/20/2014 39 15K