US stock futures mixed as ECB leaves rates unchanged. Weekly Jobless a tad higher than expected. NFP Parroll Report main economic item traders watching. Oil prices fractionally lower. 10-year 2.275%. Volatility as an asset class:
Disney (DIS) is up $).39 to $93.50 in the premarket after declaring an annual cash dividend of $1.15 per share, up 34%, or 29c per share. December call option implied volatility is at 16, January is at 15; compared to its 26-week average of 21.
Aeropostale (ARO) is down $0.57 to $2.52 after reporting Q3 results and a Q4 outlook. December call option implied volatility is at 94, January is at 65, April is at 63; compared to its 26-week average of 62.
Energy Select Sector SPDR (XLE) is down $0.66 to $81.30 in the premarket as WTI trades down 0.52% to $67.05. December weekly call option implied volatility is at 32, December is at 26; compared to its 26-week average of 18.
Options expected to be active @ CBOE: PBR DIS ALGT COST SHLD SEAS HE
CBOE Equity Options Volume 935,706 calls, 604,914 puts, 1,540,620 total cboe.com
CBOE Interest Rate 5 Year Note (FVX) 16.07 into November job report.
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.14, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 36.16, compared to its 50-day moving average of 30.36, WTI Crude oil trades below $68. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 134.44, compares to its 50-day moving average of 127.53. 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 1070.48 compared to its 10-day moving average of 1067.83 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 263.20 compared to its 50-day moving average of 262.07 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 15.08; compared to its 50-day moving average of 17.55.
CBOE 3-Month Volatility Index (VXV) at 15.55, compared to its 50-day moving average of 17.20 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.16, compared to its 10-day moving average of 11.82 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 35.84; compared to its 50-day moving average of 41.90.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.60.
CBOE Volatility Index (VIX) at 12.47, compared to its 50-day moving average of 15.71. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 4c to $207.12 on hopes for Chinese and Japanese stimulus.
Calls with increasing volume at CBOE:
ABX 1/15/2016 20.00 14K contracts
BAC 12/20/2014 17.50 9K
AAPL 12/5/2014 116 8K
VXX 1/17/2015 30 7K
AMJ 12/20/2014 47 6K
CCE 1/17/2015 45 6K
IWM 12/31/2014 125 6K