Blogging Options: CBOE Morning Update 1.16.15

December CPI off 0.4% (consensus -0.3%.  Energy contributed -4% to this drop).  X-Food & Energy rose 1.6% (+1.75 expected).   Industrial production fell 0.1% in December.  Markets still weighing Swiss bank move with US futures lower.  A trader tells us that Implied Volatility on the Swiss Franc going into yesterday’s session was under 2%!  The perils of being short Vol!  Option Expiration this afternoon, bond traders with early hours today. Markets closed Monday, details in a post two days ago. Volatility as an asset class:

Intel (INTC) is down $0.08 to $36.11 in the premarket on less than expected guidance. January call option implied volatility is at 67, February is at 30, April is at 27; compared to its 26-week average of 23.

Goldman Sachs (GS) is off $2.79 to $175.70 after reporting Q4 EPS $4.38, compared to consensus $4.32. January call option implied volatility is at 37, February is at 25, April is at 23, July is at 22; compared to its 26-week average of 21.

Schlumberger (SLB) is up $0.42 to $77.05 in the premarket after reporting Q4 adjusted EPS $1.50, compared to consensus $1.46. The oil service company will cut approximately 9,000 jobs. January call option implied volatility is at 70, February is at 41, May is at 33; compared to its 26-week average of 20.

Options expected to be active at CBOE:  INTC SLB AMZN CMA STI GS PNC COF FXCM BP

CBOE Equity Options Volume; calls 1,236.347, puts 893,380, total 2,129,727 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 7.66 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 57.77, compared to its 50-day moving average of 43.30, WTI Crude oil trades above $47. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 120.77, compares to its 50-day moving average of 129.89.

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 1054.92 compared to its 10-day moving average of 1070.73 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 259.37 compared to its 50-day moving average of 262.41 cboe.com/micro/bxd/

CBOE Nasdaq-100 Volatility Index (VXN) at 22.72 compared to its 50-day moving average of 17.28.

CBOE 3-Month Volatility Index (VXV) at 22.11, compared to its 50-day moving average of 17.80 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 23.73, compared to its 10-day moving average of 18.70 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 48.90; compared to its 10-day moving average of 45.02.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 31c to 36.48

CBOE Volatility Index (VIX) at 22.39, compared to its 50-day moving average of 15.90 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 77c to $198.24 as European stocks trended lower and WTI Crude rallied.

Calls with increasing volume at CBOE:

QQQ  2/20/2015  106 32K contracts
SPY     1/17/2015   200 22K
GDX    6/19/2015     27 20K
AAPL   1/17/2015  110 18K
C          3/20/2015 52.50 17K
QQQ   2/20/2015  101 16K
CSCO  3/20/2015    30 15K