Blogging Options: CBOE Morning Update 9.18.14

Weekly Housing numbers bullish, but Housing Starts fell ~14%.  European shares higher, election results from Scotland before today’s US close?  Philly FED ay 9am CDT.  Triple Witch this afternoon and tomorrow.  BABA prices after the close today.  Volatility as an asset class

Yahoo (YHOO) is up $0.46 to $43.05 in the premarket into the IPO of Alibaba (BABA).  September call option implied volatility is at 89, September weekly is at 81, October weekly is at 64, October is at 53,  November is at 45, January is at 39; compared to its 26-week average of 34.

Rite Aid (RAD) is down $066 to $5.98 after the drugstore lowered its full-year view. September call option implied volatility is at 147, October is at 71, January is at 46; compared to its 26-week average of 49.

Pier 1 Imports (PIR) is down $1.82 to $13.72 in the premarket after the home-goods retailer lowered its full-year guidance. September call option implied volatility is at 148, October is at 54, December is at 39; compared to its 26-week average of 34.

CBOE Gold Volatility Index (GVZ) closed at 17.14, above its 50-day moving average of 14.57 as gold near 4-year low. cboe.com/GVZ

Options expected to be active @ CBOE: YHOO ORCL RHT RAD PIR SODA

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

CBOE SKEW INDEX (SKEW) at 138.13, compared to its 50-day MA of 132.51. 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 1108.68 compared to its 10-day moving average of 1107.07 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.79 compared to its 50-day moving average of 268.80 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.85; compared to its 50-day moving average of 14.08.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.81, compared to its 10-day moving average of 12.58. 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 down 28c to 27.35.

CBOE Volatility Index (VIX) at 12.65, compared to its 10-day moving average of 12.93 and its 50-day moving average of 13.04 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 80c to $202.55 as Asian and European stocks rise after Fed signals rate rise is in distant future.

Calls with increasing volume at CBOE:

SPY 10/18/2014 202 31K contracts
GE   12/20/2014 27 21K
VXX    1/17/2015 30 15K
CNX   1/17/2015 43 13K
BAC   9/20/2014 17 11K
AAPL 9/20/2014 101 11K

Puts with increasing volume at CBOE:

SPY   9/20/2014 199.50 42K contracts
VXX   9/20/2014 27 15K
IWM 9/20/2014 115 14K