Q3 GDP revised higher from a gain of 3.5% to 3.9%. Case-Shiller Home Prices showed a modest increase. Train empty on way in this morning. They’re missing an intra-day, all-time high on SPX. Volatility as an asset class:
Palo Alto (PANW) is up $1.51 to $114.77 in the premarket after the cybersecurity company reported a Q1 loss on rising expenses. November weekly call option implied volatility is at 83, December is at 48, January is at 46, March is at 41; compared to its 26-week average of 52.
Workday (WDAY) is down $5.15 to $87.44 after human resource software firm showed a slower pace of growth. November weekly call option implied volatility is at 84, December is at 45, January is at 43, March is at 41; compared to its 26-week average of 42.
Nuance (NUAN) is up $0.70 to $16.04 in the premarket after reporting a strong finish to fiscal 2014, with revenue, EPS and bookings above our guidance ranges. December call option implied volatility is at 52, January is at 41, April is at 37; compared to its 26-week average of 38.
Options expected to be active @ CBOE: PNAW WDAY PBR HRL NUAN
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 4.89; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 36.28, compared to its 50-day moving average of 28.24 WTI Crude oil trades near $76 into OPEC meeting. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 140.17, compares to its 50-day moving average of 128.40. 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 1067.78 compared to its 10-day moving average of 1069.84 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 262.01 compared to its 50-day moving average of 262.93 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.25; compared to its 50-day moving average of 17.52.
CBOE 3-Month Volatility Index (VXV) at 15.55, compared to its 50-day moving average of 17.08 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.15, compared to its 10-day moving average of 11.30 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 36.90; compared to its 50-day moving average of 42.01.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 27.21.
CBOE Volatility Index (VIX) at 12.62, compared to its 50-day moving average of 15.73. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 23c to $207.49 as stocks trade at record highs.
Calls with increasing volume at CBOE:
EEM 12/20/2014 44 48K contracts
SPY 12/20/2014 212 30K
MBI 1/17/2015 11 14K
IWM 11/28/2014 119 10K
AAPL 11/28/2014 120 9K
DD 1/17/2015 72.50 9K
TMUS 2/20/2015 29 7K