Overseas markets mixed to higher – DAX up ~1%. 10-year dips below 2.4%, oil higher, metals flat. Busy day Friday as CBOE trades ~6.6mm of 23.5mm options trading. SPX traded over 1mm contracts, VIX with 868K and VIX Futures showed ~365k contracts traded. Parade in Chicago Wednesday for Jackie Robinson Jr. US Championship Little League team. CBOE’s Ed Tilly accepts ALS Ice bucket Challenge this afternoon. Details on how to donate and join the fight on ALS will be posted here later tonight. Volatility as an asset class
Tim Hortons (THI) is up $9.66 to $72.50 in the premarket on confirming talks regarding potential strategic transaction with Burger King (BKW). Overall option implied volatility of 19 is below its 26-week average of 22.
InterMune (ITMN) is up $19.42 to $73.23 in the premarket after announcing Roche (RHHBY) will acquire the bio-tech firm for a share price of $74.00 per share in an all-cash transaction. Overall option implied volatility of 67 is near its 26-week average of 68.
Options expected to be active @ CBOE: ITMN THI BKW BG TIVO WDAY SPX
CBOE SKEW INDEX (SKEW) at 135.10, compared to its 50-day MA of 133.54. 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 1102.48 compared to its 10-day moving average of 1094.93 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 269.42 compared to its 50-day moving average of 267.92 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 12.23; compared to its 50-day moving average of 13.71.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.08, compared to its 10-day moving average of 12.34. 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 27c to 27.43
CBOE Volatility Index (VIX) closed at 11.47, compared to its 10-day moving average of 12.63 and its 50-day moving average of 12.65. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up $0.92 to $200.11 as Japanese stocks rebounded to a 3-1/2-week high Monday, led by exporters and others due to a weak yen
Calls with increasing volume at CBOE Friday:
AAPL 8/22/2014 101 23K contracts
SPY 8/22/2014 200 16K
C 11/22/2014 52.50 11K
IWM 9/20/2014 115 10K
BAC 8/29/2014 16.50 9K
1JCP 10/18/2014 10 9K