Blogging Options: CBOE Morning Update 9.2.14

Investors in the US return after the Labor Day holiday and stock futures are modestly higher.  Eyes focus on Ukraine and the jobs reports later this week.  Asian markets mixed to lower but European stocks slightly positive.  Oil and Gold each off 1%+. A report circulating by a large bank shows Manufacturing in over half of the European countries surveyed contracting. CBOE’S Risk Management Conference kicks off tomorrow near Dublin (I checked the airfares from London to Dublin for you procrastinators, fares start at £17). Volatility as an asset class:

Conn’s (CONN) is down $11.39 to $33.39 in the premarket after the southern hard-goods retailer Q2 earnings fell and bad-debt provisions increased.  September call option implied volatility is at 71, October is at 53, January is at 46; compared to its 26-week average of 58.

Compuware (CPWR) is up $1.25 to $10.60 on the software developer in advanced talks with a private equity buyer, the Wall Street Journal reports. Overall option implied volatility of 28 is near its 26-week average of 30.

VIX methodology for Apple (VXAPL) is at 26.20, as shares APPL shares trade near record high into a company sponsored September 9th event CBOE.com/VXAPL

Options expected to be active @ CBOE:  DG FDO DLTR CPWR AAPL NVS CIEN CONN SWKS INVN

CBOE SKEW INDEX (SKEW) at 127.01, compared to its 50-day MA of 133.85. 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 1105.74 compared to its 10-day moving average of 1103.07 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.98 compared to its 50-day moving average of 268.12 cboe.com/micro/bxd/\
‏CBOE Nasdaq-100 Volatility Index (VXN) at 12.71; compared to its 50-day moving average of 13.64.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10, compared to its 10-day moving average of 10.56. 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 4c to 28.07.

CBOE Volatility Index (VIX) closed at 11.98, compared to its 10-day moving average of 11.86 and its 50-day moving average of 12.67. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.25 to $200.25 on calm European markets

Calls with increasing volume at CBOE:
SPY    9/20/2014 198 58K contracts
PBR   9/20/2014   18 20K
AAPL 8/29/2014 102 12K

Puts with increasing volume at CBOE:
SPY  10/18/14  190 40K contracts
EEM   9/20/14    43 12K
IWM 10/18/14 115   8K
AAPL  8/29/14 102   7K