Ebola in the US takes over the headlines and gets the attention of investors and traders this morning. Housing starts to be reported 30 minutes after the opening. Bond yield drops slightly. Volatility as an asset class:
Microsoft (MSFT) is up $1.23 to $46.25 in the premarket after Q1 top and bottom line beats estimates. October weekly call option implied volatility is at 67, November at 23, December at 20; compare to its 26-week average of 21.
Amazon.com (AMZN) is down $31.25 to $282.19 after reporting disappointing” Q3 results and outlook. October weekly call option implied volatility is at 171, November is at 43, December is at 33, April is at 29; compared to its 26-week average of 32.
Digital River (DRIV) is up $8.37 to $25.75 in the premarket on the provider of commerce as a service solutions company agrees to be acquired by an investor group led by Siris Capital Group in a transaction valued at $840M. Overall option implied volatility of 60 is above its 26-week average of 37.
Options expected to be active @ CBOE: AMZN F MSFT UPS DRIV BMY CL
CBOE Crude Oil Volatility Index (OVX) at 31.78, compared to its 50-day moving average of 22.28. WTI Crude oil trades above $81. CBOE.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 128.77, compared to its 50-day moving average of 130.99. 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 1087.40 compared to its 10-day moving average of 1046.46 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 260.01 compared to its 50-day moving average of 266.14 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 18.78; compared to its 50-day moving average of 16.20.
CBOE 3-Month Volatility Index (VXV) at 18.20, compared to its 50-day moving average of 16.20 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.12, compared to its 10-day moving average of 22.95. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 45.31; above 50-day moving average of 41.14
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 56c to 34.04.
CBOE Volatility Index (VIX) at 16.53, compared to its 10-day moving average of 21.11 and its 50-day moving average of 15.04. cboe.com/VIX
CBOE Mini-SPX options (XSP) at 195.10, has weekly expirations CBOE.com/tradeXSP
S&P 500 Weekly Options (SPXW) closed at 1950.80 CBOE.com/SPXW
SPDR S&P 500 ETF Trust (SPY) is down $0.43 to $194.48 after New York City reported that a doctor in the city had tested positive for Ebola.
Calls with increasing volume at CBOE:
SPY 12/20/2014 205 51K contracts
EWZ 12/20/2014 52 25K
EEM 11/22/2014 44 23K
AAPL 10/24/2014 105 16K