Calm in Ukraine and European shares up 1% point to higher US markets this morning. Amazon & Disney implied volatilities move higher in content dispute. 10-year below 2.43%. Metals, Oil & Ag’s mostly unchanged. Summer doldrums. Volatility as an asset class:
Priceline.com (PCLN) is down $17.55 to $1264 (was off over $35) in the premarket after the online travel reservation company reported better than expected Q2 results, however lowered guidance. August volatility elevated into Q2 and outlook. August call option implied volatility is at 49, September is at 32, October is at 29; compared to its 26-week average of 30.
Kinder Morgan (KMI) is up $5.53 to $41.64 in the premarket after announcing the acquisition of Kinder Morgan Energy (KMP), Kinder Morgan Management (KMR) and El Paso Pipeline Partners (EPB). Overall option implied volatility of 22 is at its 26-week average.
Options expected to be active @ CBOE: KMI KMP EPB KMR MNKD TKMR PCLN
CBOE SKEW INDEX (SKEW) at 120.36, below 50-day MA of 131.83. 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 1080.48, compared to its 10-day moving average of 1082.75 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 265.04 compared to its 50-day moving average of 265.04 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.39, compared to its 10-day moving average of 15.70. 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 22c to 32.99
CBOE Volatility Index (VIX) closed at 15.77, compared to its 10-day moving average of 15.77 and its 50-day moving average of 12.44. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 0.62 to $193.86 on easing tensions in Ukraine.
Calls with increasing volume at CBOE Friday:
SPY 8/8/2014 193 22K contracts
AAPL 8/8/2014 94 13K
IWM 8/16/2014 112 11K
Puts with increasing volume at CBOE:
SPY 8/16/2014 190 16K contacts
EEM 9/20/2014 42.5 13K
AAPL 8/8/2014 94 11K
IWM 8/16/2014 108 11K