Blogging Options: CBOE Morning Update 9.15.14

Empire State bounced back as expected, following a sharp drop in the previous month.  Industrial Production fell 0.1% in August (+0.3% expected). Oil down, Gold a little higher; 10-year dips below 2.59%.  Triple Witch, Scottish vote and Alibaba (BABA) should be on the watch list this week.  How ’bout those (Chicago) Bears!  Volatility as an asset class:

Terex (TEX) is down $2.70 to $32 in the premarket after the aerial work platforms equipment company lowered Q3 guidance to 55c-65c, compared to consensus 79c. Overall option implied volatility of 31 is below its 26-week average of 33.

AngloGold (AU) is up $0.58 to $14.03 after the gold producer decided not to proceed with restructuring and capital raise. Overall option implied volatility of 36 is   below its 26-week average of 39 according to Track Data, suggesting decreasing price movement.

Anheuser-Busch InBev (BUD) is up $3.19 to $114.12 in the premarket on reports that SABMiller (SBMRY) has approached Heineken (HINKY) about an offer for the brewer to help defend itself against a possible takeover attempt by Anheuser-Busch. Overall option implied volatility of 18 is near its 26-week average of 19.

Options expected to be active @ CBOE: YHOO BUD AAPL CTSH DHR CREE TEX AU

CBOE volume Sept 12; 1,352,531 calls, 785,721 puts, 2,138,252 total CBOE.com

CBOE SKEW INDEX (SKEW) at 127.37, compared to its 50-day MA of 132.95. 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 1106.36 compared to its 10-day moving average of 1106.56 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.40 compared to its 50-day moving average of 268.60 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.67; compared to its 50-day moving average of 13.93.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.28, compared to its 10-day moving average of 11.66. 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 25c to 28.86.

CBOE Volatility Index (VIX) at 13.31, compared to its 10-day moving average of 12.64 and its 50-day moving average of 12.92. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 15c to $198.96 after China’s factory output grew at its weakest pace in nearly six-years.

Calls with increasing volume at CBOE:

SPY    9/20/2014 205  32K contracts
AAPL  9/12/2014 102  26K
AMAT 4/17/2015  23  20K
S         9/20/2014    6  13K

Puts with increasing volume at CBOE:

SPY    9/12/2014 199  37K contracts
EEM   9/20/2014   40  17K
XLF     9/20/2014   21  17K
QQQ  9/12/2014 99.50 15K
VXX  11/22/2014   22   15K