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

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.

Tags