Blogging Options: CBOE Morning Update 1.22.14

January VIX Settlement later this morning.  IBM earnings beat but revenues were short again.    10-year 2.85%, overseas markets mixed to higher.  Sears closing it’s downtown Chicago location.

Volatility as an asset class

Coach (COH) is down $3.46 to $49.09 in the premarket after the hand-and-accessories retailer reported Q2 earnings decreased 16%. January weekly call option implied volatility is at 82, February is at 40, August is at 28; compared to its 26-week average of 27.

Cree (CREE) is up $1.02 to $63.85 after the maker of LED lighting products and semiconductor components reported Q2 earnings rose 75%.  January weekly call option implied volatility is at 97, February is at 55, June is at 43; compared to its 26-week average of 39.

Nuance (NUAN) is up $1.08 to $16 after the producer of software that converts speech into text reported increased guidance. Overall option implied volatility of 45 is above its 26-week average of 42.

BlackBerry (BBRY) is up $0.28 to $10.21 in the premarket after announcing plans to divest its Canadian real estate holdings. Overall option implied volatility of 62 is above its 26-week average of 57.

IBM (IBM) is down $6.78 to $181.70 in the premarket after reporting its 7th straight quarter of declining revenue. January weekly call option implied volatility is at 57, February is at 22, April is at 18; compared to its 26-week average of 19.

Options expected to be active @ CBOE: AMD IBM COH BBRY NUAN PG SBUX NFLX

CBOE S&P 500 BuyWrite Index (BXM) closed at 1026.66, above its 50-day moving average of 1007.84 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 257.07, above its 50-day moving average of 252.32 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.46, compared to its 10-day moving average of 11.49. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Skew Index (SKEW) 138.77, above 50-day moving average of 131.72. 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 12.87, below its 10-day moving average of 12.65 and its 50-day moving average of 13.44. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is flat at $184.18 after the revenue miss from Dow component IBM.

Calls with increasing volume at CBOE:

BSX 2/22/2014 14 20K contracts
SPY 3/22/2014 189 15K
RF 2/22/2014 11 13K
USB 1/17/2015 45 10K
GM 3/22/2014 41 7K