Blogging Options: CBOE Morning Update 10.28.14

Earnings season is upon us, and for the most part companies have beat this morning. But the drop in Durable Goods Orders by 1.3%, the revision lower for last month and the miss in the core rate pared stock gains in the futures market.  Bond yields fractionally higher.  Volatility as an asset class:

Twitter (TWTR) is down $6.52 to $41.94 in the premarket after reporting higher than expected Q3 revenue and EBITDA but lower than expected monthly average users and provided weaker than expected Q4 guidance. October weekly call option implied volatility is at 154, November is at 74, December is at 48, January at 47; compared to its 26-week average of 54.

Kohl’s (KSS) is off $3.55 to $55 following less than expected Q3 SSS guidance and fiscal 2014 EPS guidance. October call option implied volatility is at 32, December is at 27, January is at 26; compared to its 26-week average of 25.

Amgen (AMGN) is up $2.81 to $151 in the premarket on strong Q3 results on strong sales. October weekly call option implied volatility is at 48, November is at 29, December is at 23, January is at 23; compared to its 26-week average of 24.

Options expected to be active @ CBOE: TWTR PBR TSLA LVS PFE KSS BWLD FB TSLA V BIDU FCX APC BP CLF

CBOE Crude Oil Volatility Index (OVX) at 32.44, compared to its 50-day moving average of 22.83. WTI Crude oil trades near $81. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 123.77, compared to its 50-day moving average of 130.62. 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 1063.98 compared to its 10-day moving average of 1050.09 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 260.86 compared to its 50-day moving average of 265.87 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.94; compared to its 50-day moving average of 16.67.

CBOE 3-Month Volatility Index (VXV) at 17.86, compared to its 50-day moving average of 16.34 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.09, compared to its 10-day moving average of 21.11. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.15; above 50-day moving average of 41.36

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 81c to 31.86.

CBOE Volatility Index (VIX) at 16.04, compared to its 10-day moving average of 19.74 and its 50-day moving average of 15.17. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 196.15, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1961.65 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently down up $1.08 to $197.24 as world stocks rose and U.S. bond yields steadied into the Fed beginning a two-day meeting.

Calls with increasing volume at CBOE:

SPY     1/17/2015   220 85K contracts
EWZ  11/22/2014    46   9K
VXX     11/7/2014    40   9K
AAPL 10/31/2014 107   7K

Puts with increasing volume at CBOE:

SPY   11/22/2014 180 49K contracts
IWM 11/22/2014   96 11K
EWZ   2/20/2015   32   7K