Blogging Options: CBOE Morning Update 8.12.14

Stock futures off a little as Ukraine and Iraq situations prompt some profit takers to lock in gains from the last two sessions.  Small business optimism up slightly. Volatility as an asset class:

Intercept Pharmaceuticals (ICPT) is up $119.43 to $356.60 in the premarket after announcing an experimental liver disease drug may have had a more benign effect on patient’s cholesterol. Overall option implied volatility of 105 is above its 26-week average of 97.

Nuance (NUAN) is down $1.50 to $16.60 after the company which makes software that converts speech into text reported less than expected Q3 earnings and guidance. August call option implied volatility is at 67, September is at 42, January is at 34; compared to its 26-week average of 38.

Rackspace (RAX) is down 31c to $31 in the premarket after the enterprise cloud service company said it’s on track to deliver 15%-18% YoY revenue growth for FY14.  August call option implied volatility is at 97, September is at 52, December is at 46; compared to its 26-week average of 54.

Options expected to be active @ CBOE:  ICPT NUAN RAX TWTR CIE CZR VIX SPX

CBOE SKEW INDEX (SKEW) at 124.24, 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 1083.80, compared to its 10-day moving average of 1080.25 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 265.37 compared to its 50-day moving average of 265.37 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.84, compared to its 10-day moving average of 16.06. 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 31c to 31.54

CBOE Volatility Index (VIX) closed at 14.23, compared to its 10-day moving average of 15.56 and its 50-day moving average of 12.49. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 17c to $193.96 on easing geopolitical tensions.

Calls with increasing volume at CBOE:

IWM  8/16/2014   113  17K contracts
KMI   9/20/2014     40  11K
SPY   8/16/2014   195  10K
VXX   8/22/2014     35    8K
EWJ   8/16/2014 11.50  7K

Puts with increasing volume at CBOE:

SPY    8/16/2014 193  22K contracts
IWM  8/16/2014 112  14K
QQQ 8/16/2014  96   8K

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