US Futures look to open higher, extending yesterday’s afternoon rally. Asian shares lower overnight, with NIKKEI off 1.4%. European shares up ~1% to 2%. Yields rising on US Treasuries as investors calm down. Oil futures higher. URBN off $4.50 to ~$30 on margin drop, Big volume at CBOE yesterday. Volatility as an asset class:
Google (GOOG) was down over $4.50 in the premarket but has rallied back to unchanged, after the Internet giant’s Q3 earnings missed forecasts as it increased spending. October call option implied volatility is at 147, November is at 46, December is at 33, March is at 31; compared to its 26-week average of 23.
SanDisk (SNDK) is off $1.00 to $84.31. October volatility elevated into Q3 and guidance Q4 guidance missed expectations, because the company is seeing more demand than it can fully supply. October call option implied volatility is at 98, November is at 44, January is at 35; compared to its 26-week average of 32.
General Electric (GE) is up 75c to $25 in the on better than expected Q3 results at industrial segment. October call option implied volatility is at 35, November is at 23, December is at 21, January is at 19; compared to its 26-week average of 17.
Options expected to be active @ CBOE: GOOG GOOGL GE HON SNDK COF SLB MS
CBOE S&P 500 95-110 Collar Index (CLL) at 635.90: www.cboe.com/CLL
CBOE Crude Oil Volatility Index (OVX) at 34.07, compared to its 50-day moving average of 21.08. WTI Crude oil trades near $83. CBOE.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 127.97, compared to its 50-day moving average of 130.64. 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 1030.40 compared to its 10-day moving average of 1058.70 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 252.97 compared to its 50-day moving average of 266.77 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 26.73; compared to its 10-day moving average of 21.88.
CBOE 3-Month Volatility Index (VXV) at 22.85, compared to its 50-day moving average of 15.89 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 30.48, compared to its 10-day moving average of 21.76 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 $1.91 to 38.42.
CBOE Volatility Index (VIX) at 25.20, compared to its 10-day moving average of 20.11 and its 50-day moving average of 14.69. cboe.com/VIX
CBOE Mini-SPX options (XSP) at 186.30, has weekly expirations CBOE.com/tradeXSP
S&P 500 Weekly Options (SPXW) closed at 1862.75 CBOE.com/SPXW
SPDR S&P 500 ETF Trust (SPY) is up 1.74 to $188. The early strength is being attributed to Fed President Bullard’s comments from yesterday that suggested the Fed should consider continuing to buy bonds beyond the scheduled end of quantitative easing this month.
Calls with increasing volume at CBOE:
SPY 12/31/2014 205 36K contracts
EBAY 11/22/2014 55 23K
HPQ 10/31/2014 35 20K
ALU 1/15/2016 5.33 20K
RFMD 1/17/2015 10 13K