Blogging Options: CBOE Morning Update 8.22.14

Once Ms Yellen speaks we can get on with the summer doldrums.  Russia and Ukraine sabre rattling again giving a soft tone to stock futures.  Volatility as an asset classGameStop Corp. (GME) is up $2.75 to $43.24 in the preopen after reporting Q2 EPS of $0.22, $0.04 better than the analyst estimate of $0.18. Revenue for the quarter came in at $1.73 billion versus the consensus estimate of $1.64 billion. August weekly call option implied volatility is at 163, September is at 47, January is at 40; compared to it 26-week average of 43.

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

Click here to Reply,
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.