Blogging Options: CBOE Morning Update 1.8.15

Comments by (voting) FED member Charlie Evans overnight about delaying rate increases has shares sharply higher.  Weekly Jobless claims dropped slightly but missed expectations.  Health Care sector up, Biogen preliminary trials have stock in wide range pre opening, looks lower.   10-year at 2%.  -6 on way to train this morning.  Volatility as an asset class

Costco (COST) is up 68c to $145 in the premarket after reporting December SSS rose 3%. Overall option implied volatility of 19 compares to its 26-week average of 17.

Apollo Education (APOL) is down $2.86 to $29 after lowering its FY15 revenue outlook. January call option implied volatility is at 79, February is at 46, May is at 38; compared to its 26-week average of 37.

Constellation Brands (STZ) is up $2.95 to $106 in the premarket after the spirits producer raised and reaffirmed FY15 views.  January call option implied volatility is at 34, February is at 24, April is at 23; compared to its 26-week average of 24.

Options expected to be active at CBOE: COST SIG PCLN XOM CVX HLF AA

CBOE Equity Options Volume; calls 949,054, puts 690,637, total 1,639,691 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.37, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.25, compared to its 50-day moving average of 41.11, WTI Crude oil trades near $49. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 123.56, compares to its 50-day moving average of 129.95. 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 1070.86 compared to its 10-day moving average of 1078.56 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.93 compared to its 50-day moving average of 262.26 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.16; compared to its 50-day moving average of 16.86.

CBOE 3-Month Volatility Index (VXV) at 20.07, compared to its 50-day moving average of 17.37 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 17.59, compared to its 10-day moving average of 15.31 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.47; compared to its 10-day moving average of 41.29.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.29 to 31.58.

CBOE Volatility Index (VIX) at 19.29, compared to its 50-day moving average of 15.30 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 1.59 to $203.90 as WTI crude trades above $48 a barrel and European banks rally the most in three years on Central Bank optimism.

Calls with increasing volume at CBOE:
SPY 2/20/2015 215 85K contracts
VXX 2/20/2015 52 14K
XHB 3/20/2015 35 14K
IWM 1/17/2015 115 10K