Blogging Options: CBOE Morning Update 1.14.15

JP Morgan off over $1 on missing top and bottom line estimates.  Overseas news started stocks lower with Italian Premier resigning, the Euro falling to a multi-year low and copper prices collapsing.  US December Retail Sales, estimated to benefit with falling oil prices, fell 0.9% (sharpest drop in 2 1/2 years) X-Autos and Oil Sales fell 0.4%.  10-year trades 1.79%.   GPRO, hammered yesterday, stabilizes above $50 after AAPL enters remote camera market. ~32 K VIX Futures trade in early session.  Stock futures sharply lower.  Volatility as an asset class:

Tesla (TSLA) is down $17.14 to $187.12 in the premarket after Elon Musk said China sales fell significantly in Q4. January call option implied volatility is at 55, February is at 47, March is at 43; compared to its 26-week average of 46.

CSX (CSX) is up 20c to $33.75 after reporting holiday SSS and providing guidance for the Q4. January call option implied volatility is at 51, February is at 31, May is at 27; compared to its 26-week average of 24.

GameStop (GME) is up $3.53 to $36.30 in the premarket after reporting holiday SSS and providing guidance for the Q4 and fiscal 2014.  January call option implied volatility is at 119, February is at 58, April is at 48; compared to it 26-week average of 47.

Options expected to be active at CBOE:  TSLA JPM WFC CSX GME ZIOP OCN

CBOE Equity Options Volume; calls 1,346,444, puts 883,389, total 2,229,833 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.67 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.78, compared to its 50-day moving average of 42.83, WTI Crude oil trades below $45. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 122.20, compares to its 50-day moving average of 129.81.

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 1070.52 compared to its 10-day moving average of 1075.15 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.64 compared to its 50-day moving average of 262.47 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.71 compared to its 50-day moving average of 17.04.

CBOE 3-Month Volatility Index (VXV) at 21.27, compared to its 50-day moving average of 17.60 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.62, compared to its 10-day moving average of 17.49 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 46.62; compared to its 10-day moving average of 43.60.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 71c to 35.10.

CBOE Volatility Index (VIX) at 20.56, compared to its 50-day moving average of 15.60 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down $1.33 to $200.75 as commodity prices dropped and falling oil prices continued to weigh on global equity markets.

Calls with increasing volume at CBOE:

JNJ       4/17/2015 110 64K contracts
AMAT  4/17/2015    26 28K
SPY      1/17/2015  205 23K
TGT      4/17/2015   80 18K
F           2/20/2015   17 16K
IWM     1/17/2015 117 13K
QQQ    1/17/2015 104 12K
IGT       1/17/2015    17 10K
CSCO   3/20/2015    30 10K