August Option Expiration today. Empire State Manufacturing with huge miss – 14.69 (not a good number) versus previous reading of 25.6. July PPI rose 0.1% as energy prices eased (0.4% June), X-Food & Energy up 0.2%. Gorgeous weather in Chicago, train empty. More info on CBOE Risk Management Conference Europe later today. Volatility as an asset class
Monster Beverage (MNST) is up $18.92 to $90.57 in the premarket on Coca-Cola (KO) takes 16.7% stake for $2.15B. Overall option implied volatility of 30 is below its 26-week average of 34.
J.C. Penney (JCP) is up 22c to $9.96 in the preopen on solid Q2 and outlook/ August call option implied volatility is at 113, September is at 56, November is at 52, January is at 49; compared to its 26-week average of 60.
Options expected to be active @ CBOE: SINA JCP ADSK MNST AMAT SUNE WB KO MNST SUNE GCI JWN CHTR
CBOE Volatility Index (VIX) closed at 12.42, compared to its 10-day moving average of 15.15 and its 50-day moving average of 12.57. cboe.com/VIX
CBOE SKEW INDEX (SKEW) at 132.46, compared to its 50-day MA of 132.16. 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 1094.48, compared to its 10-day moving average of 1080.42 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 267.83 compared to its 50-day moving average of 269.79 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.29, compared to its 10-day moving average of 15.37. 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 59c to 28.29
SPDR S&P 500 ETF Trust (SPY) is recently up 62c to $196.38 following several economic data points.
Calls with increasing volume at CBOE Thursday:
PBR 9/20/2014 18 17K
F 1/17/2015 18 15K
CSCO 10/18/2014 26 11K
EEM 12/20/2014 45 10K
KMI 12/20/2014 42.5 8K
SPY 8/16/2014 196 7K
ABBV 9/20/2014 55 7K
AAPL 8/16/2014 97.14 7K
IWM 9/20/2014 122 7K