Good morning from a crisp (-4 degrees) Chiicago. Option volume eased to more average levels Friday, as CBOE traded 4.2 million of the 16 million options trading hands. ~600k SPX options and almost 1 million VIX options led the way. This morning stock futures mixed to lower. Ms Yellen does Humphrey Hawking testimony this week but not much new expected. MCD beat on same-store sales, AOL doing damage control on pension payment flap. ISS says no to me Icahn.
Volatility as an asset class
Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is up 4c to $71.34 in the premarket as the 10-year Treasury yield dipped to 2.66% in Tokyo action and into Janet Yellen testifying before a House panel on February 11. February weekly call option implied volatility is at 26, February is at 23, March and June is at 22; compared to its 26-week average of 28.
Sohu.com (SOHU) is down $5.02 to $66.50 in the premarket after the Chinese portal sees Q1 EPS ($1.20)-($1.10), may not compare to consensus 0c. Overall option implied volatility of 58 compares to its 26-week average of 46.
Options expected to be active @ CBOE: MCD NOK QCOM PLUG ZNGA NUAN PEP
CBOE S&P 500 BuyWrite Index (BXM) at 1011.36, above its 50-day moving average of 1009.79. cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 249.49, compared to its 50-day moving average of 252.27. cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.51, its 10-day moving average is 19.17 VXST is a market-based gauge of expectations of 9-day volatility. cboe.com/vxst
iPath S&P 500 VIX Short-Term Futures (VXX) is down 11c to 45.35 in the premarket.
CBOE Volatility Index (VIX) at 15.29, compared to its 10-day moving average of 17.29 and its 50-day moving average of 14.59. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 12c to $179.56 with global bonds more mixed overnight and into Janet Yellen testifying before a House panel on February 11.
Calls with increasing volume at CBOE:
SPY 2/22/2014 181 39K contracts
IWM 3/22/2014 115 11K
Puts with increasing volume at CBOE:
SPY 2/22/2014 165 44K contracts
TC 1/17/2015 5 41K