Blogging Options: CBOE Morning Update 9.10.14

Wet Chicago and soft opening.  Crude down, metals up, dollar mixed. Traders watching yield creep higher.  Volatility as an asset class:

Apple (AAPL) is  up $0.06 on 22 million shares in the first 45 minutes, a day after the much-anticipated product launch event. September weekly call option implied volatility is at 36, compared to a level  of 59 before the open on September 8, September is at 28, October is at 26, December is at 25, January is at 24; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) is at 27.25, compared to its 10-day moving average of 26.85. CBOE.com/VXAPL

Krispy Kreme (KKD) is off $0.67 on Q2 profit increasing 22% on sales growth. September volatility elevated into Q2 and guidance. September call option implied volatility is at 76, October is at 49, January is at 40; compared to its 26-week average of 44.

Palo Alto (PANW) is up $6.24 to $95.52 after the maker of hardware and software for computer-network security forecast revenue for the current quarter higher than analyst expectations. September weekly call option implied volatility is at 93, September is at 56, October is at 46, December is at 41; compared to its 26-week average of 46.

Options expected to be active @ CBOE:  PANW KKD TWTR MBLY EBAY AAPL

CBOE SKEW INDEX (SKEW) at 136.88, compared to its 50-day MA of 133.45. 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 1105.78 compared to its 10-day moving average of 1105.99 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.10 compared to its 50-day moving average of 268.51 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) has moved up 0.24 this morning to 14.77; compared to its 50-day moving average of 13.79.

CBOE S&P 500 Short-Term Volatility Index (VXST) jumped 1.05 this morning to 14.38, compared to its 10-day moving average of 10.89. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is higher by 0.34 to 28.60

CBOE Volatility Index (VIX) is up 0.30 to 13.80, compared to its 10-day moving average of 12.29 and its 50-day moving average of 12.81. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is off $0.17 to $199.17 as the Japanese yen trends to a fresh six-year low.

Calls with increasing volume at CBOE Tuesday:

AAPL  9/12/2014  100  27K contracts
EEM   9/20/2014  46.50 22K
SPY    9/12/2014  200  15K

Puts with increasing volume at CBOE Tuesday included:

QQQ  9/12/2014  100 24K contracts
SPY    9/12/2014  199 21K
EEM   9/20/2014    43 19K
FXI   10/18/2014    40 17K
VXX 10/18/2014     27 16K
AAPL 9/12/2014     97 13K