Overseas markets soft this morning, while US futures point to a firm opening. 10-year ~2.355%. ~19,500 VIX Futures trade in early session. Alcoa leads off the Q3 earnings season after the close. FOMC Minutes released mid-day. Tekmira, a pharma stock involved in Ebola trials with active stock activity. Volatility as an asset class:
Yum! Brands (YUM) is up $0.47 to $70.20 in the premarket after reporting Q3 EPS ex-items 87c, consensus 89c. October weekly call option implied volatility is at 71, October is at 37, November is at 26, January is at 20, April is at 21; compared to its 26-week average of 23.
Costco (COST) is higher by $2.63 to $127.90 after reporting Q4 EPS $1.58, consensus $1.52. October weekly call option implied volatility is at 34, October is at 22, November is at 18 and January is at 17; compared to its 26-week average of 15.
Symantec (SYMC) is up $1.05 to $24.24 in the premarket on the security, backup and availability solutions company is in advanced talks to split company in two, Bloomberg reports. Symantec overall option implied volatility of 26 compares to its 26-week average of 25.
Options expected to be active @ CBOE: COST YUM GPRO RIO CMRX TKMR SYMC SAP
CBOE Equity Options Volume; 1,039,321 calls, 659,251 puts, 1,698,572 total CBOE.com
S&P 500 Weekly Options (SPXW) closed @ 1935.10 CBOE.com/SPXW
CBOE S&P 500 95-110 Collar Index (CLL) closed @ 646.60: www.cboe.com/CLL
CBOE S&P 500 Skew Index (SKEW) at 120.85, compared to its 50-day moving average of 130.97. 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 1069.55 compared to its 10-day moving average of 1084.84 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 262.20 compared to its 50-day moving average of 267.83 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 19.17; compared to its 50-day moving average of 15.01.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.90, compared to its 10-day moving average of 15.54. 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 17c to 32.10.
CBOE Volatility Index (VIX) at 17.20, compared to its 10-day moving average of 15.62 and its 50-day moving average of 13.79 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 42c to $193.68 on economic growth concerns as German bond yields trend lower.
Calls with increasing volume at CBOE:
SPY 10/10/14 197 24K contracts
OPK 1/17/15 10 17K
RIG 11/22/14 35 14K
VXX 11/22/14 50 14K
PBR 10/18/14 17 12K