Blogging Options: CBOE Morning Update 1.21.14

Another morning in Chicago with 7″ of new snow and expecting zero degrees tonight.  Short week with a 5-week option expiration cycle should lead to slow trading – but earnings reports trickling out.  HAL, JNJ & TRV all beat estimates.  No major economic data released today. Gold (off 1%) and Silver (down 2%) being watched by traders.

Volatility as an asset class

Verizon (VZ) is up 46c to $48.81 in the premarket after reporting Q4 adjusted EPS 66c, compared to consensus 65c on rising wireless and FiOS revenue growth.  January weekly call option implied volatility is at 35, February is at 18, April is at 16; compared to its 26-week average of 18.

Delta Air Lines (DAL) is up 92c to $31.99 after reporting better than expected Q4 profit and revenue on capacity growth and lower fuel costs.  January weekly call option implied volatility is at 60, February is at 37, June is at 34; compared to its 26-week average of 35.

Forest Labs (FRX) is up $6.59 to $75.32 in the premarket after reporting Q3 revenue of $878M, compared to consensus $827M on growth from next generation drugs. Overall option implied volatility of 29 is above its 26-week average of 27.

Options expected to be active @ CBOE: PBR GOOG AMD CREE DAL SAP XLNX BBRY

CBOE S&P 500 BuyWrite Index (BXM) closed at 1024.56, above its 50-day moving average of 1007.16 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 257.43, above its 50-day moving average of 252.14 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.46, near its 10-day moving average of 11.50. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Skew Index (SKEW) 139.62, above 50-day moving average of 131.32. 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 Volatility Index (VIX) closed at 12.44, below its 10-day moving average of 12.71 and its 50-day moving average of 13.44. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 78c to $184.41 on optimism for earnings report results.

Calls with increasing volume at CBOE:

SPY 1/18/2014 184 43K contracts
BAC 1/18/2014 17 34K
MU 1/18/2014 22 14K
BBRY 1/18/2014 9 12K
QQQ 2/22/2014 90 11K
AAPL 1/18/2014 550 9K
EWZ 1/24/2014 43.50 9K