Blogging Options: CBOE Morning Update 8.29.14

July Income rose 0.2% and Spending fell 0.1% (+0.3 and +0.2 expected).  Savings rate grew slightly. Two more reports later this morning and then long weekend begins. Train empty on way in. Bonds close early today. Volatility as an asset class

Splunk (SPLK) is up $2.91 to $48.20 in the premarket after reporting better than expected Q2 EPS of $0.01 on revenue of $101.5 million versus the consensus estimate of $93.93 million. The data-software company sees Q3 2014 revenue of $105M-107M, versus the consensus of $104M. August weekly call option implied volatility is at 158, September is at 69, October is at 66, November is at 56; compared to its 26-week average of 52.

Fred’s, Inc. (FRED) is indicated lower after regional retailer reporting less than expected Q2 EPS results of on revenue of $491M versus the consensus estimate of $488M. Overall option implied volatility of 42 is above its 26-week average of 35.

Big Lots (BIG) is down $0.65 to $46.55 in the premarket after reporting Q2 results and a $250M share repurchase program. September call option implied volatility is at 50, October is at 38, January is at 32; compared to its 26-week average of 34.

Options expected to be active @ CBOE:  BIG SPLK FRED AZN CONN

CBOE SKEW INDEX (SKEW) at 137.94, compared to its 50-day MA of 134.08. 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 1104.72 compared to its 10-day moving average of 1101.81 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.89 compared to its 50-day moving average of 268.08 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 12.65; compared to its 50-day moving average of 13.63.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.34, compared to its 10-day moving average of 11. 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 39c to 27.90

CBOE Volatility Index (VIX) closed at 12.05, compared to its 10-day moving average of 11.98 and its 50-day moving average of 12.65. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.34 to $200.48 into today’s economic reports include Personal Income and Spending reports (mentioned in 1st paragraph) for July, the Chicago PMI business barometer, and the University of Michigan consumer confidence final reading for August.

Calls with increasing volume at CBOE:

SPY    8/29/2014  200  13K contracts
AAPL 8/29/2014  103  10K
C        1/17/2015 62.50 10K
WLT   1/15/2016   20    9K
IWM     9/5/2014 116.50 9K
VXX    8/29/2014   29    6K

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