Blogging Options: CBOE Morning Update 8.26.14

The Durable Goods report is considered a volatile number, and the July report just released didn’t disappoint.  Durable Goods spiked higher by 22.6% (helped by a jump of 318% in non-defense aircraft), X-Aircraft Durables dropped 0.8%, a big miss.  Stock futures didn’t budge, up slightly before the opening.  Option volume yesterday a little light as long-weekend approaches.  KITE Pharma up $4.40 as one of its cancer drugs is getting good reviews in clinical trials.  Warren Buffet providing financing to Burger King seems to like Tim Horton coffee more than a loud talking head on a major business channel.  Volatility as an asset class:

Best Buy (BBY) is down $1.11 to $30.89 in the premarket on a Q2 profit that was higher than expected, but its sales fell short and executives remained cautious for the 2nd half. August weekly call option implied volatility is at 96, September is at 46, October is at 40, December is at 36; compared to its 26-week average of 37.

DSW (DSW) is up $3.20 to $31.57 in the premarket after the shoe retailer reported Q2 adjusted EPS 37c, consensus 32c on better than expected revenue $587.1M. Overall option implied volatility of 40 is above its 26-week average of 35.

Regis (RGS) closed at $14.75 into the leader in the haircare industry reporting Q4 revenue of $483.9M, compared to consensus $477.50M. Overall option implied volatility of 29 is at its 26-week average.

Options expected to be active @ CBOE: CVLT CLF YHOO TIVO WDAY BBY DSW

CBOE SKEW INDEX (SKEW) at 135.41, compared to its 50-day MA of 133.69. 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 1103.90 compared to its 10-day moving average of 1096.94

CBOE DJIA BuyWrite Index (BXD) at 269.76 compared to its 50-day moving average of 267.96

‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.45; compared to its 50-day moving average of 13.68.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.42, compared to its 10-day moving average of 11.90.
VXST is a market-based gauge of expectations of 9-day

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 2c to 27.42

CBOE Volatility Index (VIX) closed at 11.70, compared to its 10-day moving average of 12.30 and its 50-day moving average of 12.64.

SPDR S&P 500 ETF Trust (SPY) is up $0.04 to $200.27 as European stocks trend higher.

Calls with increasing volume at CBOE:
SPY 9/20/2014 202.50 18K contracts
IWM 10/18/2014  120 6K
AAPL  8/29/2014  102 5K
DYN   9/20/2014    35 5K
PFE  10/18/2014    29 4K