2Q GDP came in as expected at 4.6%. U of M Sentiment later this morning. Bill Gross leaving PIMCO has talking heads excited this morning. Good option volume yesterday as CBOE traded ~6mm of 20mm contracts traded. BABA expected to begin option trading Monday. Commodities unchanged in early pre-market trade, Asian shares mixed to lower, European shares up modestly. Volatility as an asset class:
Micron (MU) is up $1.80 to $33.50 in the premarket following a solid Q4 report and said it is entering a new phase of growth. September weekly call option implied volatility is at 152, October weekly is at 65, October is at 46, November is at 41, January is at 39; compared to its 26-week average of 38.
Nike (NKE) is up $5.75 to $85.50 on better than expected Q1 results benefiting from World Cup gear sales and a bullish update to FY15 guidance on global momentum and gross margin gains. September weekly option implied volatility is at 75, October weekly is at 35, January is at 20; compared to its 26-week average of 21.
Diamond Foods (DMND) closed at $26.62 into reporting Q4 revenue $219.1M, compared to consensus $208.41M. October call option implied volatility is at 48, November is at 36, December is at 38; compared to its 26-week average of 37.
Options expected to be active @ CBOE: NKE BBRY JBL AAPL MU RPRX TKMR GPRO
Alibaba (BABA) options should begin trading on September 29 @ CBOE
CBOE S&P 500 Skew Index (SKEW) at 132.24, compared to its 50-day moving average of 132.49. 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 1084.26 compared to its 10-day moving average of 1101.40 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 265.37 compared to its 50-day moving average of 268.68 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 18.12; compared to its 50-day moving average of 14.29.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.94, compared to its 10-day moving average of 13.129. 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 34c to 29.98.
CBOE Volatility Index (VIX) at 15.64, compared to its 10-day moving average of 13.44 and its 50-day moving average of 13.25 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 45c to $196.79 after a sharp sell-off in the U.S. on growing concerns of a seizure of foreign assets in Russia.
Calls with increasing volume at CBOE:
AAPL 9/26/2014 100 23K contracts
SPY 9/26/2014 199 12K
BAC 9/26/2014 17 8K
Puts with increasing volume at CBOE:
SPY 9/30/2014 190 36K contracts
AAPL 9/26/2014 100 18K