Blogging Options: CBOE Morning Update 11.12.14

Stocks headed lower at the opening, as profit-takers emerged. VIX bounces higher to 13.44, up 0.52.  Volatility as an asset class:

Macy’s (M) is up $1.11 to $59.70 after reporting Q3 EPS 61c, compared to consensus 50c and lowered FY14 EPS view to $4.25-$4.35 from $4.40-$4.50. November call option implied volatility is at 46, December is at 29, January is at 26, February is at 25; above its 26-week average of 24.

Fossil (FOSL) is up $9.50 to $113.25 after reporting Q3 results, share buyback’s and a renewed agreement with Michael Kors (KORS). November weekly call option implied volatility is at 104, November is at 62, December is at 37, January is at 32; compared to its 26-week average of 35.

J.M. Smucker (SJM) is down $5.57 to $98.51  on Q2 results fell short of expectations due to its coffee business. Overall option implied volatility of 19 is near its 26-week average of 18.

Options expected to be active @ CBOE: FOSL YHOO BABA M CSCO ECA WMT ZTS CSIQ

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.25; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 30.79, compared to its 50-day moving average of 25.74 WTI Crude oil trades near $78. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.50, compares to its 50-day moving average of 128.56. 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 1070.42 compared to its 10-day moving average of 1069.61 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.74 compared to its 50-day moving average of 264.32 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.32; compared to its 50-day moving average of 17.38.

CBOE 3-Month Volatility Index (VXV) at 15.35, compared to its 50-day moving average of 16.88 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.54, compared to its 10-day moving average of 13.22. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.70; compared to its 50-day moving average of 41.97

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 28c to 27.61.

CBOE Volatility Index (VIX) at 12.92, compared to its 10-day moving average of 13.98 and its 50-day moving average of 15.64. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 203.95, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 2039.70 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently down 70c to $203.57 as Japanese stocks trade near seven-year highs on further speculation that Prime Minister Shinzo Abe will postpone a planned sales tax hike and call a general election for December.

Calls with increasing volume at CBOE:

YHOO 11/22/2014  51   20K contracts
AAPL   11/14/2014 112  12K
AMAT    4/17/2015  24   11K
SPY        1/17/2015 210 10K
VXX     11/22/2014 30.50 6K