Blogging Options: CBOE Morning Update 1.5.15

Parking lot full this morning, everyone getting back to work – and on time.  Asian stocks lower, shares in Europe off 1%+.  DAX leading shares down in Europe with bad economic news. Oil traded with a $50 handle this morning and the dollar (CAD & AUS tied to resources, Swiss tied to Euro) at a 6 year high. -1 degree on way in this morning.  VIX Futures active in pre-market session, up ~2.5%. SPY off 1.25.  Volatility as an asset class:

Cempra (CEMP) is up $6.11 to $29 in the premarket after announcing positive topline results from a global, pivotal Phase 3 clinical trial of solithromycin oral capsules, Solitaire-Oral, in the treatment of patients with community acquired bacterial pneumonia. Overall option implied volatility of 98 compares to its 26-week average of 97.

Ford (F) is down 15c to $15.21 in the premarket after being downgraded to Neutral from Buy at Citigroup. Citigroup said the risk/reward looks balanced following the recent move higher in the stock. Citi keeps a $17 price target for Ford shares.  Overall option implied volatility of 26 compares to its 26-week average of 24.

General Motors (GM) is down 9c to $34.75 in the premarket after Citigroup recommended buying shares into 2015 and keeps a $48 price target for the name.  Overall option implied volatility of 26 compares to its 26-week average of 25.

Options expected to be active at CBOE: F GM NVDA SBUX MU BBBY CMC

CBOE S&P 500 PutWrite Index (PUT) at 1457, 29-day moving average is 1440.95 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.61, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 54.25, compared to its 50-day moving average of 39.64, WTI Crude oil trades near $52. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 128.66, compares to its 50-day moving average of 130.04.
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 1081.22 compared to its 10-day moving average of 1081.96 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 265.03 compared to its 50-day moving average of 262.15 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.20; compared to its 50-day moving average of 16.74.

CBOE 3-Month Volatility Index (VXV) at 19.45, compared to its 50-day moving average of 17.23 cboe.com/VXV.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.47, compared to its 10-day moving average of 13.65 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 41.01; compared to its 10-day moving average of 39.73.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 51c to 31.50.

CBOE Volatility Index (VIX) at 17.79, compared to its 50-day moving average of 15.11 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 1.18 to $204.25 as the euro traded to a nine-year low on increasing Greece uncertainty.

Calls with increasing volume at CBOE:
SPY       1/2/2015 206 33K contracts
AAPL    1/2/2015 110 13K
VXX       1/9/2015    55 9K
MNKD 1/17/2015     5 8K
BBY     2/20/2015    40 8K