US Futures down sharply, with DJIA futures off 145 points and S&P 500 futures lower by16 points. VIX Futures have traded ~26 K contracts in the early session this morning. Asian markets off 1.5% to 2% on unrest in Hong Kong – a reported 100k protesters in streets yesterday, Personal Income for August higher by 0.3%, Spending up 0.5%. NABA announced that Q4 growth in US is expected to come in at 3%, off from 3.1%. 10-year yield drops to 2.488%. Air traffic in US expected to be disrupted for next three weeks. Volatility as an asset class:
Athlon Energy is up $11.40 to $58.13 in the premarket on Encana (ECA) acquiring the Texas based energy company for $5.93B, $58.50 per share. Overall volatility of 39 is at its 26-week average of 28.
EnCana (ECA) overall volatility of 30 is near its 26-week average of 28.
TIBCO Software (TIBX) is up $4.08 to $23.63 on Vista Equity Partners acquiring for $4.3B, $24 per share in cash. Overall option implied volatility of 50 is above its 26-week average of 36.
Options expected to be active @ CBOE: TIBX ECA ATHL DWA CALM PSDV WAG
Alibaba (BABA) options begins trading today at CBOE
CBOE S&P 500 Skew Index (SKEW) at 130.49, compared to its 50-day moving average of 132.46. 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 1092.98 compared to its 10-day moving average of 1100.07 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 267.70 compared to its 50-day moving average of 268.65 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.85; compared to its 50-day moving average of 14.31.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.04, compared to its 10-day moving average of 13.46. 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 up 85c to 30.22.
CBOE Volatility Index (VIX) at 14.85, compared to its 10-day moving average of 13.60 and its 50-day moving average of 13.26 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down $1.04 to $196.86 after Pro-democracy protests in Hong Kong caused 17 banks and many other businesses on the island to close.
Calls with increasing volume at CBOE Friday:
AAPL 9/26/2014 100 23K contracts
SPY 9/26/2014 198 15K
IWM 10/18/2014 114 12K
Puts with increasing volume at CBOE:
SPY 10/18/2014 188 45K contracts
EFA 12/20/2014 58 25K