Blogging Options: CBOE Morning Update 8.21.14

European shares higher, as are most Asian stocks.  Oil and gold continue slide lower, grain prices increase overnight.  Weekly Jobless Claims fall below 300K to 298K, as expected. Jackson Hole comments will start trickling out today, Ms. Yellen talks tomorrow. Several economic numbers tomorrow at market opening.  Volatility as an asset class

Hewlett-Packard (HPQ) is flat at $35.12 in the preopen on better than expected Q3 revenue. August weekly call option implied volatility is at 99, September is at 28, October is at 27, January is at 24; compared to its 26-week average of 28.

L Brands (LB) is indicated higher in the preopen on inline Q3 and guidance September call option implied volatility is at 22, October is at 20, January is at 21; compared to its 26-week average of 23.

Sears Holdings (SHLD) is down $1.85 to $34.10 in the preopen on a large Q2 loss as revenue and margins decline. August weekly call option implied volatility is at 129, September is at 58, December is at 46, March is at 46; compared to its 26-week average of 55.

Options expected to be active @ CBOE: HPQ SHLD HTZ HRL LB FDO DG

CBOE SKEW INDEX (SKEW) at 135.46, compared to its 50-day MA of 133.22. 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 1101.62 compared to its 10-day moving average of 1089.29 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.15 compared to its 50-day moving average of 267.84 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.66; compared to its 50-day moving average of 13.76.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.80, compared to its 10-day moving average of 13.46.
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 9c to 27.62

CBOE Volatility Index (VIX) closed at 11.78, compared to its 10-day moving average of 13.55 and its 50-day moving average of 12.67. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 31c to $199.27 into the weekly jobless claims data and existing home sales report.

Calls with increasing volume at CBOE:

AAPL 8/22/2014  100  11K contracts
SPY    9/20/2014  205  11K
QQQ 8/29/2014  98.50 10K
VXX     9/5/2014   40   8K
UAL  9/20/2014   48   6K

Puts with increasing volume at CBOE:

SPY   8/22/2014 194 18K contracts
EFA 10/18/2014   65 11K
VXX   9/20/2014   25 10K

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