Blogging Options: CBOE Morning Update 8.28.14

Traders are hearing Russian troops have entered Ukraine – or haven’t, depending on whether you are hearing Ukranian, NATO or Russian comments.  On the economic front Weekly Jobless Claims remained under 300k, unchanged from last week.  Q2 GDP first revision showed the economy grew 4.2% (original estimate +4.0%, higher than the 3.9% to 4.0% estimates), Commodities higher.  Volatility as an asset class:

Abercrombie & Fitch (ANF) is down $2.41 to $41.59 in the premarket after the teen retailer reported Q2 sales decreased more than expected. August weekly call option implied volatility is at 100, September is at 49, October is at 45, December is at 38; compared to its 26-week average of 45.

Williams-Sonoma (WSM) is off $8.29 to $66.60 after the high end home retailer forecast a less than expected outlook. September call option implied volatility is at 30, October is at 25, November is at 24; compared to its 26-week average of 25.

Guess (GES) is down $1.99 to $23.65 in the premarket after the apparel retailer lowered its outlook for the year. September call option implied volatility is at 45, October is at 35, December is at 32; above its 26-week average of 30.

Options expected to be active @ CBOE:  TKMR FEYE WSM WDAY SPLK YNDX RSX JCP ANF

CBOE SKEW INDEX (SKEW) at 135.41, compared to its 50-day MA of 133.92. 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 1105.43 compared to its 10-day moving average of 1100.78 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 27-.14 compared to its 50-day moving average of 268.05 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.24; compared to its 50-day moving average of 13.63.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.19, compared to its 10-day moving average of 12.22. 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 99c to 28.82

CBOE Volatility Index (VIX) closed at 11.678, compared to its 10-day moving average of 12.02 and its 50-day moving average of 12.62. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 67c to $199.55 on the escalation of the Ukraine Russian crisis

Calls with increasing volume at CBOE:

SPY     8/29/2014  200 43K contracts
PBR    9/20/2014   17  20K
VXX  10/18/2014   45  14K
EWZ 10/18/2014   53  12K
BAC 11/22/2014   17  11K

Puts with increasing volume at CBOE:

SPY   10/18/2014 192 85K contracts
VALE   1/17/2015   11  27K
RIO     1/17/2015   40 19K
VXX    9/20/2014    28 14K
QQQ 10/18/2014   91 13K
BHP    1/17/2015   55 11K