Blogging Options: CBOE Morning Update 8.14.14

Weekly Jobless Claims spiked higher to 311k, putting a damper on stock futures.  10-year with a 2.3 handle, 2.395%.  Mr. Putin talking about the area needs calm sounds good to traders and investors. August Option Expiration tomorrow.  Good luck to Chicago’s  Jackie Robinson West in Little League World Series, starting tonight.  Volatility as an asset class:

Cisco (CSCO) is down $0.34 to $24.84 in the premarket on strong Q4 results and the network company’s Q1 earnings outlook missed consensus.  August call option implied volatility is at 57, September is at 24, October is at 22; compared to its 26-week average of 23.

Noodles & Company (NDLS) is $5.67 to $19.54 after reporting Q2 results and “tempering” its FY14 outlook.  August call option implied volatility is at 153, September is at 58, November is at 53, February is at 48; compared to its 26-week average of 43.

Amgen (AMGN) is down $2.76 to $124.58 in the premarket after announcing the Phase 3 Kyprolis FOCUS clinical trial did not meet its primary endpoint. Overall option implied volatility of 21 near its 26-week average of 23.

Options expected to be active @ CBOE:  CSCO NDLS JWN AMGN DANG NTAP WMT VIPS ITMN

CBOE SKEW INDEX (SKEW) at 126.93, below 50-day MA of 131.94. 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 1089.68, compared to its 10-day moving average of 1078.69 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.84 compared to its 50-day moving average of 267.77 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.63, compared to its 10-day moving average of 16.10. 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 36c to 29.53

CBOE Volatility Index (VIX) closed at 12.90, compared to its 10-day moving average of 15.60 and its 50-day moving average of 12.57. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 44c to $195.28 as Russian President Vladimir Putin struck a more conciliatory tone while speaking about the situation in Ukraine.

Calls with increasing volume at CBOE:

SPY 8/16/2014 195 38K contracts
AMAT 10/18/2014 22 35K
WMB 8/16/2014 56 20K
F 9/20/2014 17 15K
EEM 12/20/2014 52 15K
F 1/17/2015 18 14K
CTL 8/16/2014 41 14K
SPY 8/16/2014 197 11K
TMUS 8/16/2014 31 10K