Blogging Options: CBOE Morning Update 10.9.14

US stocks are taking a breather, as they digest yesterdays move higher.  Excellent option volume at CBOE and overall.  VIX cash fell ~12%, with good volume in VIX options and futures.  Carl Icahn pushing Apple Board around this morning, asking AAPL to buy more shares.  AA with good earnings last night, more Q3 earnings coming for the next few weeks.  Volatility as an asset class

Gap (GPS) is down $3.98 to $37.86 in the premarket on the retirement of CEO Glenn Murphy and posting disappointing September sales – flat.  Overall option implied volatile of 32 is above its 26-week average of 25.

Alcoa (AA) is up 30c to $16.37 as Q3 profits increased on higher aluminum prices. October weekly call option implied volatility is at 63, October is at 43, November is at 32, December is at 31, January and April is at 30; compared to its 26-week average of 28.

PepsiCo (PEP) is up $1.51 to $95.45 in the premarket after raising FY14 EPS growth guidance to 9% from 8%. Overall option implied volatility of 19 is above its 26-week average of 15.

VIX methodology for Apple (VXAPL) @ 27.23, compared to its 50-day MA of 26.45 CBOE.com/VXAPL

Options expected to be active @ CBOE:  GPS PEP AA TSLA AAPL PLUG SPX VIX

S&P 500 Weekly Options (SPXW) closed @ 1968.90 CBOE.com/SPXW

CBOE S&P 500 95-110 Collar Index (CLL) closed @ 652.90: www.cboe.com/CLL

CBOE S&P 500 Skew Index (SKEW) at 127.08, compared to its 50-day moving average of 130.88. 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 1088.30 compared to its 10-day moving average of 1083.76 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.66 compared to its 50-day moving average of 267.76 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.26; compared to its 50-day moving average of 15.07.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.59, compared to its 10-day moving average of 15.71. 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 59c to 30.12.

CBOE Volatility Index (VIX) at 15.11, compared to its 10-day moving average of 15.79 and its 50-day moving average of 13.83 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 64c to $196 after Wednesday’s sharp rally.

Calls with increasing volume at CBOE:
SPY   10/18/2014  199 34K contracts
EEM  11/22/2014    45 28K
IWM 10/10/2014  111 20K

Puts with increasing volume at CBOE:
SPY   10/18/2014  190 59K contracts
AMD 10/18/2014    3   33K
RSX   11/22/2014  15   22K
IWM 11/22/2014 105 15K