Blogging Options: CBOE Morning Update 1.23.14

Weekly Jobless Claims tick higher, pushing stock futures lower. Otherwise, slow and cold (-2 degrees on way to train) in Chicago.

Volatility as an asset class

Netflix (NFLX) is recently up $56.27 to $390.05 in the premarket after reporting Q4 EPS 79c, compared to consensus 66c. January weekly call option implied volatility is at 177, February is at 55, March is at 47; compared to its 26-week average of 47.

eBay (EBAY) is up $1.34 to $55.70 after the company’s Q4 results beat on the bottom line, missed on the top line, and the company announced it received a proposal from Carl Icahn regarding a spin-off of its PayPal unit. January weekly call option implied volatility is at 62, February is at 34, July is at 27; compared to its 26-week average of 28.

SanDisk (SNDK) is recently down $1.19 to $71 in the premarket after the flash-memory maker reported Q4 earnings rose 58% on an increase in revenue and wider margins. January weekly call option implied volatility is at 69, February is at 35, July is at 30; above its 26-week average of 32.

Options expected to be active @ CBOE: SNDK EBAY XRX FIO AA PG SBUX NFLX ARIA

CBOE S&P 500 BuyWrite Index (BXM) closed at 1027.12, above its 50-day moving average of 1008.61 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 256.72, above its 50-day moving average of 252.50 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.30, compared to its 10-day moving average of 11.56. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Skew Index (SKEW) 138.92, above 50-day moving average of 132.02. 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 12.84, above its 10-day moving average of 12.64 and its 50-day moving average of 13.42. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 54c to $183.76 after soft Chinese manufacturing figures and US Jobless claims increasing 1K to 326K.

Calls with increasing volume at CBOE:

GM 6/21/2014 42 15K contracts
DG 2/22/2014 60.0000 15K
GM 6/21/2014 48.0000 15K
RATE 3/22/2014 22.50 14K
VXX 2/22/2014 59K 13K
SD 3/22/2014 6 12K
AA 1/17/2015 17 11K