Salesforce.com (CRM) is higher by $1.00 to $56.71 in the preopen after raising its forecast for the year. August weekly call option implied volatility is at 169, September is at 36, October and November is at 35; compared to its 26-week average of 36.
Aeropostale (ARO) is off $0.30 to $3.61 in the premarket after reporting Q2 EPS of ($0.46), $0.13 better than the analyst estimate of ($0.59). Revenue for the quarter came in at $396.2 million versus the consensus estimate of $392.61 million. September call option implied volatility is at 93, October is at 75, January is at 85; compared to its 26-week average of 58.
Options expected to be active @ CBOE: GME ARO CRM INTU TFM MRVL ROST BRCD
CBOE SKEW INDEX (SKEW) at 135.75, compared to its 50-day MA of 133.40. 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 Interest Rate 5 Year Note (FVX) @ 16.27 into Janet Yellen’s Humphrey speech
CBOE S&P 500 BuyWrite Index (BXM) at 1101.68 compared to its 10-day moving average of 1085.56 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 269.41 compared to its 50-day moving average of 267.88 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 12.50; compared to its 50-day moving average of 13.74.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.94, compared to its 50-day moving average of 12.38.
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 6c to 27.87
CBOE Volatility Index (VIX) closed at 11.76, compared to its 10-day moving average of 13.06 and its 50-day moving average of 12.76. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 31c to $199.27 ahead of Janet Yellen’s on the timing of interest rate policy.
Calls with increasing volume at CBOE:
SPY 8/22/2014 200 27K contracts
AAPL 8/22/2014 101 14K
BAC 9/20/2014 16 12K
VXX 10/18/2014 40 10K
EWZ 9/20/2014 54 10K
IWM 9/5/2014 118 10K
Puts with increasing volume at CBOE:
SPY 8/29/14 199 21K contracts
INTC 10/18/14 33 8K
VXX 9/20/14 30 8K
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