Blogging Options: CBOE Morning Update 1.15.15

Swiss National Bank unattached from the Euro and European stock & Currency markets are wild this morning.  Unclear what the impact on US markets will be, talking heads on business channels may be talking their position – the more outraged they are the shorter the Swiss they may be.  Weekly claims made a surprising jump to 316K, highest level in seven months.   Wholesale Prices dropped 0.3%, but the Core Rate (less Food & Energy) jumped 0.3%.  Oil prices continue yesterday’s rally, helping stock futures. VIX Futures active in extended session this morning.  Volatility as an asset class:

Bank of America (BAC) is down $0.40 to $15.64 in the premarket after a Q4 revenue miss. January call option implied volatility is at 39, February and March is at 27; compared to its 26-week average of 24.

Best Buy (BBY) is off $3.84 to $36.06 after its CEO says holiday period growth rate was lower than previous quarters. January call option volatility is at 110, February is at 50, March is at 47; compared to its 26-week average of 37.

CurrencyShares Swiss Franc Trust (FXF) is up $15.70 to $111.45 in the premarket after the Swiss Central bank unexpectedly ends its minimum exchange rate versus the shared currency. Overall option implied volatility of 10 compares to its 26-week average of 9.

Options expected to be active at CBOE:  C BAC BLK AAPL BBRY BBY VIX

CBOE Equity Options Volume; calls 1,136.349, puts 856,272, total 1,999,621 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.85 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.17, compared to its 50-day moving average of 43.28, WTI Crude oil trades above $47. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 132.66, compares to its 50-day moving average of 129.97. 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 1064.60 compared to its 10-day moving average of 1073.07 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 261 compared to its 50-day moving average of 262.47 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 21.41 compared to its 50-day moving average of 17.15.

CBOE 3-Month Volatility Index (VXV) at 21.48, compared to its 50-day moving average of 15.75 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.23, compared to its 10-day moving average of 18.22 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 47.54; compared to its 10-day moving average of 44.40.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 13c to 35.21

CBOE Volatility Index (VIX) at 21.58, compared to its 50-day moving average of 15.75 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 8c to $200.80 as the Swiss National Bank unexpectedly scrapped its cap on the franc today to fight recession and deflation threats, after investors fleeing the euro zone crisis pushed the currency to record highs.

Calls with increasing volume at CBOE:

PFE    1/17/2015   30 15K contracts
WMT 1/17/2015   85 15K
SPY   1/17/2015 199 13K
PFE   3/20/2015    32 10K
C       3/20/2015    55 10K
IWM 1/17/2015  119 10K