Blogging Options: CBOE Morning Update 9.17.14

FedEX beat estimates by $0.14 this morning, helped by stock repurchase program.  Sony announced a $2 Billion loss due to smart phone sales dropping.  Eyes (Ayes?) on Scottish vote tomorrow.  Some traders thinking early results could be announced while US markets still open.  Triple Witch Friday.  Janet Yellen makes appearance this aternoon. Volatility as an asset class:

Yahoo (YHOO) is down $0.15 to $42.56 in the premarket into the expected IPO of Alibaba (BABA).  September call option implied volatility is at 89, September weekly is at 84, October weekly is at 69, October is at 52,  November is at 47, January is at 40; compared to its 26-week average of 34.

CBOE & C2 plans to list Alibaba (BABA) options on Monday, September 29.

Rackspace Hosting (RAX) is down $7.14 to $32.10 after ending a strategic review and deciding to stay independent. September call option implied volatility is at 89, October is at 56, December is at 46; compared to its 26-week average of 46.

U.S. Steel (X) is up $4.59 to $46 volatility after updating Q3 outlook. Overall option implied volatility of 38 is above its 26-week average of 35.

Sony (SNE) is down $2.00 to $18.75 in the premarket volatility after raises its net loss forecast and eliminating its dividend. Overall option implied volatility of 25 is near its 26-week average of 26.

Options expected to be active @ CBOE: YHOO ADBE X RAX SNE DD FDX GIS AUXL ENDP LEN RHT ORCL

CBOE Interest Rate 5 Year Note (FVX) @ 17.74, above 50-day MA is 16.71 into FOMC decision

CBOE SKEW INDEX (SKEW) at 126.81, compared to its 50-day MA of 132.43. 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 1108.23 compared to its 10-day moving average of 1106.81 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.70 compared to its 50-day moving average of 268.74 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.92; compared to its 50-day moving average of 14.08.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.21, compared to its 10-day moving average of 12.40. 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 1c to 27.88.

CBOE Volatility Index (VIX) at 12.73, compared to its 10-day moving average of 12.90 and its 50-day moving average of 13.03 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is slightly higher to $200.60 into the Federal Open Market Committee rate decision and outlook

Calls with increasing volume at CBOE:

SPY   10/18/2014 205 24K contracts
PBR    4/17/2015  30   20K
FXI      9/20/2014 40.50 14K
AAPL  9/20/2014 102 12K
KBH  10/18/2014  17 11K
MSFT  9/20/2014  47 10K

Puts with increasing volume at CBOE:

SPY      9/20/2014 197 55K contracts
ADXS 10/18/2014 2.5  15K
EEM   10/18/2014  42  14K
VXX      9/20/2014  28  13K