US pre-market flat this morning. Asian stocks mixed to lower, European shares higher. August Housing Sales out shortly. BABA gains ~$1 in pre-market. Several FED Heads giving talks today, first two said somewhat contrary statements but by mid-day we’ll get that sorted out. Volume on CBOE good yesterday. Volatility as an asset class:
Bed Bath and Beyond (BBBY) is up $3.20 to $65.70 in the premarket after the company’s Q2 sales beat expectation. September weekly call option implied volatility is at 89, October is at 29, November is at 27, January is at 25; compared to its 26-week average of 25 according.
Starz (STRZA) is up $1.77 to $3.351 on hiring an investment bank to shop the pay TV service for a sale, Wall Street Journal reports. Overall option implied volatility of 27 is near its 26-week average of 29.
General Motors (GM) closed at $33.22 into China president Matthew Tsien said that he anticipates the company’s sales in the country to exceed 3M cars for the second consecutive time in FY14, according to Reuters. Overall option implied volatility of 22 is near its 26-week average of 24.
Active Equity Options @ CBOE; 1,038,232 call, 681,676 put, 1,719,908 total
Options expected to be active @ CBOE: BBBY ACN BBRY ACOR CCL
CBOE S&P 500 Skew Index (SKEW) at 139.85, above 50-day moving average of 132.74. SKEW (nice article by Matt Moran on this blog yesterday about 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 1092.06 compared to its 10-day moving average of 1104.49 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 266.88 compared to its 50-day moving average of 268.80 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.46; compared to its 50-day moving average of 14.18.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.60, compared to its 10-day moving average of 12.89. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 15c to 29.05.
CBOE Volatility Index (VIX) at 14.93, compared to its 10-day moving average of 13.12 and its 50-day moving average of 13.13 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is flat at $198.01 on ECB President Mario Draghi confirming that “monetary policy will remain accommodating for a long time” and signaled the bank was ready to use unconventional tools to spur growth and bring inflation back to just under 2%.
Calls with increasing volume at CBOE:
IWM 11/22/2014 121 17K contracts
EEM 10/18/2014 45 15K
SPY 10/18/2014 200 12K
AAPL 9/26/2014 101 12K
Puts with increasing volume at CBOE:
IWM 10/18/2014 108 27K contracts
SPY 10/18/2014 200 18K
XLU 11/22/2014 40 15K