Blogging Options: CBOE Morning Update 10.20.14

Asian shares looked to lead US markets higher this morning, until disappointing guidance from Big Blue this morning (and earnings of $3.68 versus consensus estimates of ~$4.25). European shares retreated ~1% (unsure of RTGS system being down is connected to the selloff), US futures gave up early gains.  HAL beat and raised it’s dividend.  20K VIX Futures trade in early session, after 328K trade in Friday session.  Watch VIX. Volatility as an asset class:

IBM (IBM) is down $12.24 to $169.81 in the premarket, as it no longer expects ‘at least’ $20 operating EPS in 2015. October weekly call option implied volatility is at 38, November is at 27, January is at 22; compared to its 26-week average of 19.

(SAP) is off $2.60 to $66.38 after the software provider lowered its earnings outlook for this year.  Overall option implied volatility of 25 is above its 26-week average of 20.

Hasbro (HAS) is down $0.10 to $53.75 on light volume, after reporting Q3 adjusted EPS $1.46, consensus $1.45. November call option implied volatility is at 28, January is at 22, April is at 20; compared to its 26-week average of 20.

VIX methodology for IBM (VXIBM) @ 25.76, compared to its 50-day MA of 19.14. cboe.com/VXIBM

Options expected to be active @ CBOE: IBM YHOO ARMH HAL HAS BTU CMG

CBOE S&P 500 95-110 Collar Index (CLL) at 637.95: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 31.16, compared to its 50-day moving average of 21.33. WTI Crude oil trades near $83. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.71, compared to its 50-day moving average of 130.78. 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 1044.51 compared to its 10-day moving average of 1054.45 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 257.19 compared to its 50-day moving average of 266.77 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 23.13; compared to its 10-day moving average of 22.44.

CBOE 3-Month Volatility Index (VXV) at 21.25, compared to its 50-day moving average of 15.97 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 23.81, compared to its 10-day moving average of 20.86 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 52.11; above 50-day moving average of 40.84.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 7c to 38.65.

CBOE Volatility Index (VIX) at 21.99, compared to its 10-day moving average of 20.86 and its 50-day moving average of 14.80. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 188.70, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1886.75 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently down 11c to $188.36 after IBM reported a 4% decrease in quarterly revenue.

Calls with increasing volume at CBOE Friday:

DAL  12/20/2014   43  80K contracts
EFA  11/22/2014    62  33K
SPY  10/18/2014 189  33K
DIA  11/22/2014 167  22K
AAPL 10/18/2014 98 16K