China cutting rates and comments by the ECB have stocks soaring in early trading. Asian stocks up modestly, European shares up 1% to 2%. ECB buying Asset-Backed Securities but unclear as to type. Dollar up again, Oil and Metals also higher. Several Retailers reporting good sales this morning. VIX Futures off ~2% in premarket trading on good volume. Volatility as an asset class:
iShares FTSE Xinhua China 25 Index (FXI) is up $1.38 to $39.87 in the premarket after China lowered interest rates. Overall option implied volatility of 18 is at its 26-week average.
Splunk (SPLK) is higher by $5.36 to $70.40 after reporting Q3 revenue of $116M, compared to consensus $107.3M. Splunk said it signed more than 500 new enterprise customers, ending the quarter with more than 8,400 customers worldwide. November call option implied volatility is at 126, December is at 65, January is at 57; compared to it 26-week average of 56.
Autodesk (ADSK) is up $2.03 to $60.49 in the premarket after reporting Q3 adjusted EPS of 25c, consensus 22c. November call option implied volatility is at 94, December is at 39, January is at 34, April is at 31; compared to its 26-week average of 34.
Options expected to be active @ CBOE: FXI SPLK GME GPS TFM INTU ADSK ROST GME
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.10; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 33.64, compared to its 10-day moving average of 32.21 WTI Crude oil trades near $76 into Nov 27 OPEC meeting. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 136.35, compares to its 50-day moving average of 127.92. 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 1070.93 compared to its 10-day moving average of 1070.64 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 262.92 compared to its 50-day moving average of 263.27 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.87; compared to its 50-day moving average of 17.56.
CBOE 3-Month Volatility Index (VXV) at 16.01, compared to its 50-day moving average of 17.06 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.91, compared to its 50-day moving average of 15.65. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 38.50; compared to its 50-day moving average of 42.09.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 76c to 27.72.
CBOE Volatility Index (VIX) at 13.58, compared to its 10-day moving average of 13.42 and its 50-day moving average of 15.77. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 1.61 to $207.19 after China lowered interest rates and Mario Draghi announced that the ECB is ready to expand its asset purchase programs.
Calls with increasing volume at CBOE:
SPY 12/20/2014 210 27K contracts
AAPL 11/22/2014 117 15K
MDLZ 1/17/2015 40 11K
VXX 1/2/2015 34 10K
BAC 11/22/2014 17 8K