Blogging Options: CBOE Morning Update 8.20.14

Quiet pre-opening.  Eyes on any comments out of Jackson Hole. August VIX Settlement levels released after the opening today.  Staples and American Eagle shares active, TSLA off $2.75.  Petsmart says it is looking to maximize shareholder value pushes implied volatility higher. Volatility as an asset class:

Hertz (HTZ) is down $4.16 to $27.25 in the premarket on the withdrawal of FY14 financial guidance. Overall option implied volatility of 37 is its 26-week average.

Lowe’s (LOW) is down $1.52 to $50 after lower guidance as Q2 results top expectations. September call option implied volatility is at 22, October is at 20, January is at 19; compared to its 26-week average of 21.

Youku Tudou (YOKU) is down $1.62 to $19.90 in the premarket after the internet television company in the People’s Republic of China reported a weaker than expected Q2 earnings.  August weekly call option implied volatility is at 74, September is at 57, December is at 53; compared to its 26-week average of 60.

Options expected to be active @ CBOE: HTZ LOW FOLD SPLS YOKU PETM

CBOE Volatility Index (VIX) closed at 12.21, compared to its 10-day moving average of 14.01 and its 50-day moving average of 12.65. cboe.com/VIX

CBOE SKEW INDEX (SKEW) at 138.69, compared to its 50-day MA of 133.01. 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 1100.66 compared to its 10-day moving average of 1086.51 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 268.83 compared to its 50-day moving average of 267.81 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.66; compared to its 50-day moving average of 13.78 as NASDAQ at fresh 14-year high.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11, compared to its 10-day moving average of 14. 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 up 29c to 27.79

SPDR S&P 500 ETF Trust (SPY) is down 2c to $198.37 as Bank of England minutes showed two rate-sellers voted to raise interest rates earlier this month and the scheduled release of minutes from last month’s FOMC meeting.

Calls with increasing volume at CBOE:
AAPL 8/22/2014 100 21K contracts
SPY    9/20/2014 205 10K

Puts with increasing volume at CBOE:
SPY  11/22/2014 195 23K contracts
IWM  9/20/2014 110 16K
VXX   8/29/2014   27 11K

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