Blogging Options: CBOE Morning Update 1.7.15

ADP Employment beat this morning (added 241K jobs, 230K expected) and stocks reacted well.  Five-Day losing streak looks like it should end today.  Overseas markets moving higher.   Oil erased early losses and have moved to the upside,  WTI up 1%.   Gold off, FED minutes later today.  Option volume yesterday was very good, with CBOE & C2 doing 5.87mm of 19mm contracts.  300K VIX Futures change hands yesterday.  Volatility as an asset class:

Micron (MU) is down $0.91 to $31.95 in the premarket after reporting Q1 adjusted EPS 97c, compared to consensus 92c.  January weekly call option implied volatility is at 96, January is at 64, February is at 45, April is at 42; compared to its 26-week average of 37.

J.C. Penney (JCP) is up $1.34 to $7.90 after reporting better than expected holiday same-store sales and guided to the high-end of its prior Q4 SSS view. Overall option implied volatility of 68 compares to its 26-week average of 58.

Sonic (SONC) is up $2.01 to $29.10 in the premarket after reporting better than expected Q1 EPS on a SSS increase of 8.5%. January call option implied volatility is at 44, March is at 37, June is at 26; compared to its 26-week average of 33.

Options expected to be active at CBOE: MU AXP UNH SVU MON JCP

CBOE Equity Options Volume; Call 1,298,604, Puts 770,872, Total 2,069,476 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.84, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 56.64, compared to its 50-day moving average of 40.67, WTI Crude oil trades below $48. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.27, compares to its 50-day moving average of 129.99. 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 1058.81 compared to its 10-day moving average of 1079.36 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 259.89 compared to its 50-day moving average of 262.22 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 21.85; compared to its 50-day moving average of 16.81.

CBOE 3-Month Volatility Index (VXV) at 21.42, compared to its 50-day moving average of 17.33 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 20.53, compared to its 10-day moving average of 14.82 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.93; compared to its 10-day moving average of 40.69.

iPath S&P 500 VIX Short-Term Futures (VXX) is down 62c to 33.33.

CBOE Volatility Index (VIX) at 21.12, compared to its 50-day moving average of 15.24 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 1.32 to $201.14 as WTI crude trades below $48 a barrel.

Calls with increasing volume at CBOE:
JPM   2/20/2015    60  57K
SIRI   3/20/2015 3.50  50K
DD    1/17/2015 74.50  27K
AAPL 3/20/2015 130  20K
SPY      1/9/2015 203  18K
VXX    2/20/2015   53  14K
QLIK  5/15/2015   30  12K

  • Mark Brant

    Puts with increasing volume would be nice to go along with the calls.