Blogging Options: CBOE Morning Update 9.25.14

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