Markets overseas fairly quiet and down fractionally. Ukraine situation causing flight to safety with US & German Treasuries. Record highs but light-holiday volume. 10K VIX futures in early session, pretty average volume. Jackie Robinson West parade in Chicago today, good weather & big crowds expected. Volatility as an asset class
Tiffany (TIF) is up $2.23 to $103 in the premarket after reporting Q2 EPS 96c, compared to consensus 85c as worldwide net sales increased 7% and comparable store sales increased 3% largely due to growth in the Americas and Asia-Pacific. September call option implied volatility is at 31, October is at 23, November Is at 21, January is at 23; compared to its 26-week average of 23.
Aruba Networks (ARUN) is higher by $1.63 to $21.86 after the network solutions provider for the mobile enterprise reported a Q4 quarterly loss and announcing a 3.7% workforce reduction. September call option implied volatility is at 55, October is at 48, January is at 45; compared to its 26-week average of 47.
Smith & Wesson (SWHC) is down $1.54 to $11.56 in the premarket after the firearm company reports Q1 results, and lowering guidance. September call option implied volatility is at 37, December is at 34; compared to its 26-week average of 37.
Options expected to be active @ CBOE: TIVO SWHC ARUN BOBE ADI TIF CHS MIK EXPR WDAY SPLK
CBOE S&P 500 BuyWrite Index (BXM) at 1104.78 compared to its 10-day moving average of 1099.21 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 269.88 compared to its 50-day moving average of 268 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 12.34; compared to its 50-day moving average of 13.66.
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 stks.co/r0CS2
CBOE SKEW INDEX (SKEW) at 133.53, compared to its 50-day MA of 133.81. 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.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 12c to 27.75
CBOE Volatility Index (VIX) closed at 11.63, compared to its 10-day moving average of 12.13 and its 50-day moving average of 12.62. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 9c to $200.42 as on peculation of further policy easing from the ECB as early as next week.
Calls with increasing volume at CBOE yesterday:
C 10/18/2014 55 15K contracts
PBR 11/22/2014 22 11K
IWM 11/22/2014 125 10K
SPY 9/12/2014 205 10K
EEM 9/20/2014 46.50 7K
WMB 11/22/2014 62.50 7K
VXX 9/20/2014 33 7K