Durable Goods Orders fell 18% due to aircraft orders being jammed into previous month, Core Rate in-line. Weekly Jobless rose 18K but still under 300K. 10-year drops to 2.54% yield. Markets soft prep-opening. Volatility as an asset class:
Apple (AAPL) is off $1 to $100.75 in the premarket into a software glitch. September weekly call option implied volatility is at 20, October weekly is at 19, October is at 20, December is at 24, January is at 23; compared to its 26-week average of 25.
VIX methodology for Apple (VXAPL) closed @ 23.53, compared to its 10-day moving average of 24.28. cboe.com/VXAPL
Jabil Circuit (JBL) is up $0.65 to $21.50 after reporting Q4 results and fiscal 2015 guidance. October call option implied volatility is at 34, December is at 29, January is at 28, compared to its 26-week average of 28.
Active Equity Options @ CBOE; 988,521 call, 625,336 put, 1,613,857 total. CBOE.com
Options expected to be active @ CBOE: NKE BBRY JBL AAPL
CBOE S&P 500 Skew Index (SKEW) at 126.90, above 50-day moving average of 132.54. 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 1099.14 compared to its 10-day moving average of 1103.73 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 268.85 compared to its 50-day moving average of 268.78 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 15.25; compared to its 50-day moving average of 14.20.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.89, compared to its 10-day moving average of 12.90. 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 9c to 28.20.
CBOE Volatility Index (VIX) at 13.27, compared to its 10-day moving average of 13.16 and its 50-day moving average of 13.16 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down $0.50 to $199.06 as the dollar traded at four-year low and oil near a two-year low
Calls with increasing volume at CBOE:
IWM 9/30/2014 113 15K contracts
EEM 11/22/2014 46 14K
SPY 9/26/2014 199 13K
AAPL 9/26/2014 102 12K
EFA 10/3/2014 67.50 10K
Puts with increasing volume at CBOE:
SPY 9/26/2014 198 24K contracts
EEM 10/3/2014 42 15K
QQQ 10/18/2014 91 13K
AAPL 9/26/2014 100 11K
IWM 10/18/2014 106 10K
VXX 10/18/2014 26.50 9K
EGO 4/17/2015 7 8K