ECB cut rates again, 0.15% to 0.05% and the Deposit Rate went from -0.10% to 0.20%. Cookie jar and mattress sales expected to rise. US Dollar moved higher against Euro. ADP private payroll for August showed a gain of 204K jobs, below consensus and the lowest number in six months. Day 2 of CBOERMC in Dublin is currently in session – highlights here during the day. Volatility as an asset class:
TIBCO Software (TIBX) is up $1.47 to $22.51 in the premarket after announcing that it is reviewing strategic alternatives. Overall option implied volatility of 38 is near its 26-week average of 37.
PVH (PVH) is higher by $9.69 to $126.81 after the clothing company reported Q2 margins increased and sees growth in Tommy Hilfiger. September call option implied volatility is at 59, October is at 29, December is at 25; compared to its 26-week average of 26.
Yum! Brands (YUM) is down $2.13 to $69.35 in the premarket after updating Q3 China division Same Store Sales guidance. Overall option implied volatility of 18 is below its 26-week average of 23 according to Track Data, suggesting decreasing price movement.
VIX methodology for Apple (VXAPL) is at 31.71, above its 10-day moving average of 25.84 into a company sponsored September 9th event. CBOE.com/VXAPL
CBOE Interest Rate 5 Year Note (FVX) at 16.89, compared to 50-day moving average of 16.51, 50-day MA of 16.56 into Friday’s August job report.
Options expected to be active @ CBOE: YUM TIBX BOLT PVH CIEN JOY MBLY
CBOE SKEW INDEX (SKEW) at 131.55, compared to its 50-day MA of 133.46. 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 1106.10 compared to its 10-day moving average of 1104.39 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 270.07 compared to its 50-day moving average of 268.22 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 13.56; compared to its 50-day moving average of 13.68.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.83, compared to its 10-day moving average of 10.37. 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 18c to 27.77
CBOE Volatility Index (VIX) closed at 12.36, compared to its 10-day moving average of 11.87 and its 50-day moving average of 12.73. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 59c to $201.08 as European Central Bank lowers benchmark rate to .05% from .15%.
Calls with increasing volume at CBOE:
AAPL 9/5/2014 101 18K contracts
AAPL 9/5/2014 103 18K
AAPL 9/5/2014 102 16K
AAPL 9/5/2014 100 13K
AAPL 9/12/2014 107 12K
AAPL 9/20/2014 100 12K
AAPL 10/18/2014 100 11K
AAPL 9/5/2014 104 11K
AAPL 9/12/2014 103 10K
Puts with increasing volume at CBOE:
SPY 10/18/2014 190 86K contracts
SPY 10/18/2014 180 86K
IWM 9/20/2014 108 22K
AAPL 9/5/2014 99 18K
AAPL 9/5/2014 98 18K
AAPL 9/5/2014 100 16K