Good jobless report this morning and European stocks steady up. Option volume good yesterday and ~276k VIX Futures also trade. Consolidate. Volatility as an asset class
Costco (COST) is down $1.26 to $118.33 after reporting July SSS rose 5%. July revenue was $8.55B vs. $7.87B last year. Overall option implied volatility of 16 is at its 26-week average of 17.
Keurig Green Mountain (GMCR) is down $1.95 to $116.28 on seeing Q4 EPS 68c-75c, compared to consensus 86c. August weekly call option implied volatility is at 152, August is at 62, September is at 49, December is at 42; compared to its 26-week average of 48.
Bank of America (BAC) is up 0.14 to $15.34 on the U.S. Justice Department are close to agreeing on a landmark deal of between $16 billion and $17 billion to resolve allegations of mortgage-related misconduct in the run-up to the financial crisis—according to reports. August call option implied volatility is at 24, September is at 26 and January is at 25; compared to its 26-week average of 24.
Options expected to be active @ CBOE: SUNE WEN MNK NUS JACK MCP FOX FOXA AGU BAC CTRP PCLN GMCR
CBOE SKEW INDEX (SKEW) at 124.41, below 50-day MA of 131.93. 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 1073.78, compared to its 10-day moving average of 1085.90 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 263.26 compared to its 50-day moving average of 267.95 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.25, compared to its 10-day moving average of 14.84. 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 87c to 33.05
CBOE Volatility Index (VIX) closed at 16.37, compared to its 10-day moving average of 14.60 and its 50-day moving average of 12.25. cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 0.56 CBOE.com
SPDR S&P 500 ETF Trust (SPY) is up 88c to $192.96 as European are mixed on rising Russian tension
Calls with increasing volume at CBOE:
SPY 9/20/2014 205 29K contracts
AAPL 9/12/2014 99 13K
XLU 12/20/2014 41 10K
XHB 3/20/2015 30 10K
EEM 12/20/2014 45.50 100K
Puts with increasing volume at CBOE:
SPY 9/20/2014 185 31K contracts
XHB 1/17/2015 30 13K
IWM 8/16/2014 115 13K
EWT 8/16/2014 16 12K
S 9/20/2014 6 10K