World markets take hit overnight, US stock futures soft, but off pre-market lows. 10-year 2.31%, 30-year 3.04%, Oil below $85. 35K VIX futures trade in early session. Volatility as an asset class
Symantec (SYMC) is down 24c to $23.20 in the premarket after the tech company announced plans to separate into two public companies. Overall option implied volatility of 19 compares to its 26-week average of 25.
Fastenal (FAST) is up $1.29 to $45.99 in the premarket after the construction supplier reported inline Q3 EPS of 45c. October call option implied volatility is at 38, November is at 25, January is at 23; compared to its 26-week average of 23.
Infosys (INFY) is up $3.54 to $62.95 in the premarket after the technology services consultant reported Q2 EPS 89c, consensus 81c. October call option implied volatility is at 52, November is at 31, January is at 28, April is at 27; compared to its 26-week average of 32.
VIX methodology for Apple (VXAPL) @ 28.21, compared to its 50-day MA of 26.36 CBOE.com/VXAPL
Options expected to be active @ CBOE: EXAS TSLA SYMC INFY XOM COP PBR XLE
CBOE Crude Oil Volatility Index (OVX) at 27.72, WTI Crude oil trades below $85. CBOE.com/OVX
S&P 500 Weekly Options (SPXW) closed @ 1928.20 CBOE.com/SPXW
CBOE S&P 500 95-110 Collar Index (CLL) closed @ 645.65: www.cboe.com/CLL
CBOE S&P 500 Skew Index (SKEW) at 123.58, compared to its 50-day moving average of 130.74. 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 1066.22 compared to its 10-day moving average of 1081.95 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 261.36 compared to its 50-day moving average of 267.60 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 19.77; compared to its 50-day moving average of 15.18.
CBOE 3-Month Volatility Index (VXV) @ 18.08, 50-day MA is 15.34 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.62, compared to its 10-day moving average of 16.28. 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 29c to 32.49.
CBOE Volatility Index (VIX) at 18.76, compared to its 10-day moving average of 16.10 and its 50-day moving average of 13.94 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 38c to $192.36 as global stocks and oil trends lower on growth concerns.
Calls with increasing volume at CBOE:
SPY 1/17/2015 220 202K contracts
EEM 11/22/2014 45 47K
AAPL 10/10/2014 102 25K
EBAY 10/18/2014 56 16K
Puts with increasing volume at CBOE:
SPY 10/10/2014 193.50 53K contracts
XLF 6/19/2015 19 37K
QQQ 10/10/2014 97 25K