Blogging Options: CBOE Morning Update 9.9.14

Overseas markets seeing contagion fears on Scottish independence vote.  Spanish bonds higher, SPX off 7 points, VIX up 0.30 in first 20 minutes.  MCD with huge drop in same-store-sales in Asia off $0.50. Volatility as an asset class

Apple (AAPL) up $1 in first half hour of trade to $99.36 into today’s press event. September weekly call option implied volatility is at 59, September is at 35, October is at 28, November is at 26, December is at 26, January is at 24; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) is at 30.30, above its 10-day moving average of 27.66. CBOE.com/VXAPL

Annie’s (BNNY) is up $12.54 to $46.05 on the natural and organic packaged food company being acquired by General Mills (GIS) for $820M. Overall option implied volatility of 38 is below its 26-week average of 42.

Titan Machinery (TITN) is down $1.41 to 11.75 after cuts FY15 adjusted EPS view to 30c-60c from 70c-$1.00. September call option implied volatility is at 62, October is at 46, December is at 42; compared to its 26-week average of 37.

Options expected to be active @ CBOE: HDS HD BNNY GIS DKS CVX YHOO AAPL

CBOE SKEW INDEX (SKEW) at 132.91, 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 0.70 at 1106.56 compared to its 10-day moving average of 1105.81 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.38 compared to its 50-day moving average of 268.45 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.66; compared to its 50-day moving average of 13.74.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.05, compared to its 10-day moving average of 10.60. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.45 to 27.95

CBOE Volatility Index (VIX) higher by 0.30 to 12.94 , compared to its 10-day moving average of 12.11 and its 50-day moving average of 12.77. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is off 0.70 to $199.89, as S&P 500 trades near a record high.

Calls with increasing volume at CBOE Monday:

EEM 12/20/2014 47.50 20K contracts
QQQ  1/17/2015  110 15K
SPY    9/12/2014  201 14K
MRK 10/18/2014   60 10K
IWM 12/20/2014 125 10K
BAC    1/15/2016   17 8K

Puts with increasing volume at CBOE yesterday:

SPY   11/22/2014  195  52K contracts
IWM  12/20/2014  105 18K
QQQ   9/12/2014    97 10K
GLD     9/12/2014 120   7K
AAPL    9/12/2014  95   6K