Markets digesting the gains of the last few weeks. Elections in Greece trying to pull markets lower this morning, and oil disruptions in Libya have Brent Crude trading higher. Full trading schedule through Wednesday, trains empty on way in this morning. Volatility as an asset class
Manitowoc (MTW) is up $2.09 to $23.01 in the pre-market after activist investor Carl Icahn revealed in a regulatory filing that he has taken a 7.7% stake in the maker of heavy cranes and food service equipment. Option implied volatility of 42 compares to 26-week average of 38.
Gilead (GILD) is up $2.03 to $95.82 in the premarket after Morgan Stanley upgraded the stock to Overweight from Equal Weight following the recent sell-off in response to pharmacy benefits manager Express Scripts (ESRX) excluding the company’s hepatitis C treatment in most of its plans in favor of AbbVie’s (ABBV) lower-cost regimen. January weekly call option implied volatility is at 36, January is at 39, February is at 40; compared to its 26-week average of 35
Options expected to be active at CBOE: AMZN TWTR GILD MTW
CBOE S&P 500 PutWrite Index (PUT) at 1464.40, 50-day moving average is 1436.80 www.cboe.com/PUT
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.31, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 54.68, compared to its 50-day moving average of 37.89, WTI Crude oil trades below $56. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 135.03, compares to its 50-day moving average of 129.70. 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 1085.70 compared to its 10-day moving average of 1064.64 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 266.18 compared to its 50-day moving average of 261.48 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.27; compared to its 50-day moving average of 17.05.
CBOE 3-Month Volatility Index (VXV) at 17.15, compared to its 50-day moving average of 17.37 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.09, compared to its 10-day moving average of 16.17 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 38.52; compared to its 50-day moving average of 40.70.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 23c to 28.82.
CBOE Volatility Index (VIX) at 14.50, compared to its 50-day moving average of 15.39 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 25c to $208.19 as oil advanced for the first time in three days, as an escalating conflict in Libya stoked worries about supply from the OPEC member.
Calls with increasing volume at CBOE Friday:
SPY 12/16/2016 185 44K contracts
AAPL 12/26/2014 114 20K
XLF 1/17/2015 23 20K
VXX 1/17/2015 30 10K