Blogging Options: CBOE Morning Update 9.4.14

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