Blogging Options: CBOE Morning Update 8.19.14

CPI & Core CPI each rose 0.1% in July, in line with expectations.  Housing starts jumped, thanks to 33% surge in building of rental property.  Permits rose sharply but that data starting to be ignored by traders and investors.  10-year under 2.37%.  Oil & metals flat, Ag’s lower on nice summer weather in growing areas.  Good volume day yesterday, especially in SPX options & Vix Futures.   Volatility as an asset class:

Home Depot (HD) is up $3.06 to $86.65 in the premarket on Q2 results, raised guidance, stock buybacks, and healthy traffic/tickets. August weekly call option implied volatility is at 34, September is at 15, January is at 16; compared to its 26-week average of 18.

Dick’s Sporting (DKS) is up $2.09 to $45.60  on inline Q2 results and backing its outlook for the year. September call option implied volatility is at 32, September is at 35, December is at 30; compared to its 26-week average of 25.

Urban Outfitters (URBN) is up $0.38 to $37.39 in the premarket after retailer reported in-line Q2 EPS. September call option implied volatility is at 30, December is at 27; compared to its 26-week average of 27.

Options expected to be active @ CBOE: QQQ SPY RDEN DKS URBN HD TJX MDT

CBOE SKEW INDEX (SKEW) at 138.46, compared to its 50-day MA of 132.73. 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 1098.74 compared to its 10-day moving average of 1083.77 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 268.47 compared to its 50-day moving average of 267.79 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.85; compared to its 50-day moving average of 13.80 as NASDAQ at fresh 14-year high.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.07, compared to its 10-day moving average of 14.62. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is down 34c to 27.46

CBOE Volatility Index (VIX) closed at 12.32, compared to its 10-day moving average of 12.89 and its 50-day moving average of 13.49. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 32c to $197.68 as global stocks rally.

Calls with increasing volume at CBOE:
SPY 8/22/2014 196.50 23K contracts
XLU     9/20/2014    41 16K
AAPL   8/22/2014  100 14K
ADSK 10/18/2014 57.50 9K
IWM     9/20/2014 122    8K

Puts with increasing volume at CBOE:
QQQ  1/17/2015 106 50K contracts
IWM   9/20/2014 112  25K
SPY    9/20/2014 197  16K
EEM   9/20/2014   42  16K
VXX    8/22/2014   27  15K
XHB 12/20/2014   29  12K