Blogging Options: CBOE Morning Update 9.8.14

Polling in Scotland showed the independence supporters leading for the first time, a week before the election.  Profit taking, unrest in Ukraine, confusing export numbers out of China and UK uncertainty have sent bulls to the corral.  CBOE Risk Management Conference Europe getting nice comments, a recap will be published in this space soon.  Volatility as an asset class

Campbell Soup (CPB) is down $1.22 to $42.92 after the soup maker lowered its 2015 expectations. September call option implied volatility is at 21, October is at 19, January is at 17; compared to its 26-week average of 19.

Hertz Global (HTZ) is up $0.66 to $29.12  after announcing Mark Frissora is stepping down as Chairman and CEO. Overall option implied volatility of 35 is near its 26-week average of 36.

Multimedia Games (MGAM) is higher by $8.05 to $35.83 on Global Cash Access (GCA) purchasing for $36.50 per share, for an aggregate purchase price of approximately $1.2B in cash. Overall option implied volatility of 41 is near its 26-week average of 42.

VIX methodology for Apple (VXAPL) is higher this morning by $0.70 at 31.14, above its 10-day moving average of 27.07 into a company sponsored September 9th event. CBOE.com/VXAPL

Options expected to be active @ CBOE:  BP GTAT AAPL YHOO FEYE PANW LULU FXB HTZ MGAM CPB BP RIO GE

CBOE SKEW INDEX (SKEW) at 137.49, compared to its 50-day MA of 133.49. 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) is off 0.22 at 1107.38 compared to its 10-day moving average of 1105.33 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) lower by 0.12 at 270.38 compared to its 50-day moving average of 268.37 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) is up 0.30 to 13.54; compared to its 50-day moving average of 13.71.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.27, compared to its 10-day moving average of 10.40. 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 14c to 27.59

CBOE Volatility Index (VIX) has jumped higher by 1.80 to 12.07, compared to its 10-day moving average of 11.99 and its 50-day moving average of 12.75. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.12 to $200.99 as S&P 500 trades near a record high.

Calls with increasing volume at CBOE:

SPY  10/18/2014  205    29K contracts
FB     11/22/2014  77.50 18K
AAPL     9/5/2014  99     18K
INTC 10/18/2014  37     11K

Puts with increasing volume at CBOE:

EFA 3/20/2015   49 70K contracts
SPY 2/20/2015 160 45K