Veteran’s Day, US banks closed. Talk of Japan postponing tax increase has dollar and stock futures modestly higher, tacking on to yesterday’s gains. Volatility as an asset class:
Caesar’s (CZR) is down $084 to $10.70 in the premarket after reporting a larger than expected Q3 loss. November weekly call option implied volatility is at 147, November is at 104, December is at 174, January is at 150, March is at 134; compared to its 26-week average of 68.
Alibaba (BABA) is off $1.71 to $117.32 after closing at a record high. November weekly call option implied volatility is at 55, November is at 45, December is at 43, January is at 43.
Rackspace (RAX) is higher by $1.71 to $39.03 in the premarket after reporting Q3 results and announcing a $500M share buyback. November weekly call option implied volatility is at 94, November is at 65, December is at 46, January is at 44; compared to its 26-week average of 44.
Options expected to be active @ CBOE: BABA GPRO M CSCO RAX JNPR
CBOE Crude Oil Volatility Index (OVX) at 30.72, compared to its 50-day moving average of 25.49 WTI Crude oil trades near $78. CBOE.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 130.50, compares to its 50-day moving average of 128.65. 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 1070.79 compared to its 10-day moving average of 1079.45 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 262.84 compared to its 50-day moving average of 264.47 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.30; compared to its 50-day moving average of 17.36.
CBOE 3-Month Volatility Index (VXV) at 15.05, compared to its 50-day moving average of 16.86 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.32, compared to its 10-day moving average of 13.51. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 37.72; compared to its 50-day moving average of 41.98
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 28c to 27.61.
CBOE Volatility Index (VIX) at 12.67, compared to its 10-day moving average of 14.13 and its 50-day moving average of 15.62. cboe.com/VIX
CBOE Mini-SPX options (XSP) at 203.85, has weekly expirations CBOE.com/tradeXSP
S&P 500 Weekly Options (SPXW) closed at 2038.25 CBOE.com/SPXW
SPDR S&P 500 ETF Trust (SPY) is up 35c to $204.35 as U.S. equity indexes are near record highs
Calls with increasing volume at CBOE:
WAG 1/17/2015 70 18K contracts
SPY 11/14/2014 206 13K
KMI 12/20/2014 42.50 7K
BABA 11/14/2014 120 6K
EWJ 12/20/2014 12 6K
AAPL 11/14/2014 110 6K