US Stock futures modestly lower in pre-market trade. The IMF cut their global growth forecast from 3.4% to 3.3% in 2014, and from 4% to 3.8% in 2015. European shares off ~1%, as German Industrial Production dropped 4% last month. JOLTS Report 30 minutes after the opening will be watched closely by traders. 10-year dips to 2.395%. Volatility as an asset class:
Tekmira (TKMR) is up $1.00 to $25. This after a Spanish medical worker tested positive for Ebola after treating an Africa-based missionary, infected with the virus and flown to Madrid. Overall option implied volatility of 89 compares to its 25-week average of 99.
SodaStream (SODA) is down $4.17 to $23.16 on preliminary Q3 revenues missing expectations. Overall option implied volatility of 55 is above its 26-week average of 48.
Container Store (TCS) is down $3.19 to $18.70 in the premarket as Q4 results missed estimates for the second consecutive quarter and lowered guidance. October call option implied volatility is at 105, November is at 60; compared to its 26-week average of 44.
Options expected to be active @ CBOE: AMZN SODA TCS TKMR VIX CMRX BCRX DE RIO
CBOE Equity Options Volume; 996,033 calls, 627,190 puts, 1,623,223 total.
S&P 500 Weekly Options (SPXW) closed @ 1964.80 CBOE.com/SPXW
CBOE S&P 500 95-110 Collar Index (CLL) closed @ 652.05: www.cboe.com/CLL
CBOE S&P 500 Skew Index (SKEW) at 126.96, compared to its 50-day moving average of 131.25. 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 1085.78 compared to its 10-day moving average of 1087.09 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 266.47 compared to its 50-day moving average of 268 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 17.98; compared to its 50-day moving average of 14.90.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.31, compared to its 10-day moving average of 15.41. 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 38c to 30.46.
CBOE Volatility Index (VIX) at 15.46, compared to its 10-day moving average of 15.38 and its 50-day moving average of 13.70 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 41c to $195.88 into Wednesday’s release of the Federal Open Market Committee minutes from its September 16-17 meeting.
Calls with increasing volume at CBOE:
PBR 11/22/2014 20 21K contracts
AAPL 10/10/2014 100 11K
QQQ 11/22/2014 105 10K
BAC 10/10/2014 17.50 10K
S 11/22/2014 7 10K
AA 1/17/2015 15 9K
XLE 10/18/2014 89 9K