Blogging Options: CBOE Morning Update 1.13.15

Stocks look stronger across the board, Crude down, US Dollar higher.  Growing optimism on Q1 Earnings after Alcoa beat last night.  VIX looks down one point.  Volatility as an asset class

Alcoa (AA) is down $0.10 to $16.30 in the premarket after beating Wall Street estimates on both the top and bottom line.  January call option implied volatility is at 59, February is at 39, April is at 34, July is at 33; compared to its 26-week average of 32.

Best Buy (BBY) is up $0.40 to $39.49 after being upgraded to Buy from Neutral at Goldman Sachs saying a pick-up in advanced TV sales and good sector fundamentals should drive better than expected Q4 results. January call option volatility is at 110, February is at 50, March is at 47; compared to its 26-week average of 37.

Amazon.com (AMZN) is up $7.42 to $298.83 in the premarket after an upgrade to Buy from Neutral at Citigroup saying the risk/reward on shares is attractive below $300. Citi believes holiday data points look good for Amazon’s Q4 results and that the retailer’s gross margins will rise in 2015, reversing 2014’s downward trend. Overall option implied volatility of 37 compares to its 26-week average of 32.

Options expected to be active at CBOE:  AA AMZN BBY COST DPZ GM CSX

CBOE Equity Options Volume; calls 982,561, puts 672,618, total 1,655,179 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.74 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.13, compared to its 50-day moving average of 42.36, WTI Crude oil trades below $45. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 121.09, compares to its 50-day moving average of 129.79. 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 1072.78 compared to its 10-day moving average of 1076.78 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.85 compared to its 50-day moving average of 262.47 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.87 compared to its 50-day moving average of 16.96.

CBOE 3-Month Volatility Index (VXV) at 20.48, compared to its 50-day moving average of 17.51 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 18.20, compared to its 10-day moving average of 14.40 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.34; compared to its 10-day moving average of 42.78.

iPath S&P 500 VIX Short-Term Futures (VXX) is down 97c to 32.83.

CBOE Volatility Index (VIX) at 19.60, compared to its 50-day moving average of 15.48 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 1.11 to $203.86 WTI crude oil trades near a six-year low.

Calls with increasing volume at CBOE Monday:

SIRI     6/19/2015  3.50 34K contracts
SPY     1/17/2015  205 18K
BAC    2/20/2015    18 11K
MNKD 1/15/2016     7 10K
QQQ   1/17/2015   103 7K

Puts with increasing volume at CBOE:

SPY    1/17/2015  200 45K contracts
XOP   2/20/2015    42 11K
QQQ 1/17/2015   101  8K
XLE    1/17/2015    79  8K