Blogging Options: CBOE Morning Update 8.13.14

Retail Sales disappointed, and x-food and energy were worse than the headline number.  Macy’s came in $0.06 light on earnings, off $3 or 5%.  Energy sector soft in pre-market.  Weak economic numbers overseas.  Volatility as an asset class:

King Digital (KING) is down $4.08 to $14.12 in the premarket after the videogame maker cut its outlook for fiscal 2014 growth rates. August call option implied volatility is at 148, September is at 66, November is at 61, January is at 54; compared to its 18-week average of 56.

Cree (CREE) is down $4.21 to $44.99 after the maker of LED lighting and semiconductor products company reported its Q4 earnings rose 6% and lower than expected guidance. August call option implied volatility is at 98, September is at 48, December is at 40; compared to its 26-week average of 40.

Fossil (FOSL) is off $2.24 to $100.01 in the premarket after the accessory manufacturer reported Q2 earnings fell 22% on higher costs. August call option implied volatility is at 97, September is at 57, January is at 32; compared to its 26-week average of 35.

Options expected to be active @ CBOE:  KING CSCO NTAP M DE JCP FOSL CREE JDSU‏ KATE

CBOE SKEW INDEX (SKEW) at 123.69, 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 1082.14, compared to its 10-day moving average of 1079.11 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 265.23 compared to its 50-day moving average of 267.78 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.49, compared to its 10-day moving average of 16.16. 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 95c to 30.70

CBOE Volatility Index (VIX) closed at 14.13, compared to its 10-day moving average of 15.64 and its 50-day moving average of 12.54. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.70 to $194.23 as oil trades near a 13-month low.

Calls with increasing volume at CBOE yesterday:
MNKD 1/17/2015   5 17K contracts
STO     8/16/2014  35 10K
RSH     1/15/2016  0.50 8K
COP    9/20/2014  85  8K
FB       9/20/2014  80  7K
AAPL   8/16/2014  97.14 7K
SPY     8/16/2014 194 7K
GLPI 10/18/2014  35   5K

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