Blogging Options: CBOE Morning Update 9.11.14

Weekly Claims rose to 315 K, second week in a row above 300 K, highest number in three months and above same number last year. Prety good option day yesterday, as ~17 mm contracts trade. 650K SPX, 560K VIX contracts and 154 K VIX futures trade hands.  Presidents’ speech didn’t impress some traders, Chinese economic numbers and European uncertainty (Ukraine, Scotland) overhang market on 9.11.  Volatility as an asset class:

Twitter (TWTR) is down 0.71 to $52.20 in the premarket after announcing its intention to offer $650M aggregate principal amount of convertible unsecured senior notes due 2019 and $650M aggregate principal amount of convertible unsecured senior notes due 2021 in a private placement transaction. September weekly call option implied volatility is at 47, September is at 39, October is at 40, November is at 50; compared to its 26-week average of 53.

JDS Uniphase (JDSU) is up $1.80 to $13.85 after announcing that it will separate into two publicly traded companies. Overall option implied volatility of 35 is near its 26-week average of 36.

Lululemon Athletica (LULU) is up $5.24 to $43.70 in the premarket on better than expected Q2 results and guidance. September weekly call option implied volatility is at 109, September is at 66, October is at 50, January is at 38; compared to its 26-week average of 38.

Options expected to be active @ CBOE: TWTR GPRO RH JDSU FIVE LULU ULTA AKS YHOO ULTA KR MW

CBOE SKEW INDEX (SKEW) at 130.53, compared to its 50-day MA of 133.34. 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 1106.68 compared to its 10-day moving average of 1106.18 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.42 compared to its 50-day moving average of 268.59 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.12; compared to its 50-day moving average of 13.83.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.74, compared to its 10-day moving average of 11.15. 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 37c to 28.44

CBOE Volatility Index (VIX) closed at 12.88, compared to its 10-day moving average of 12.41 and its 50-day moving average of 12.84. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.75 to $199.32 after President Obama’s speech on the Islamic State

Calls with increasing volume at CBOE Wednesday:

VXX    9/20/2014 38 55K contracts
AAPL  9/12/2014 100 21K
EBAY 10/18/2014 52.50 12K
BAC  10/18/2014 16 10K
AMAT 1/17/2015 23 10K