Blogging Options: CBOE Morning Update 1.20.15

Mixed signals overnight but US Stock futures in the green.  The IMF is expecting 3.5% and 3.7% world growth in 2015 and 2016, both 0.3% lower than the previous estimate. China released several economic numbers in the last 48 hours, overall fairly soft.  US Treasury with record revenues in 2014, but President will propose new higher taxes to help the “middle class” in tonight’s State of the Union address, Congress will not go along with most of his suggestions.   I’ll watch the Chicago BlackHawks.  Volatility as an asset class:

Delta Air Lines (DAL) is up $1.16 to $47. in the premarket after reporting Q4 results and seeing double-digit earnings growth in 2015. January weekly call option implied volatility is at 51, February is at 43, March is at 41; compared to its 26-week average of 37.

Morgan Stanley (MS) is down $0.85 to $33.24 after reporting less than expected Q4 results. January weekly call option implied volatility is at 47, February is at 33, April is at 28, July is at 27; compared to its 26-week average of 26.

Halliburton (HAL) is up $0.79 to $39.92 in the premarket after reporting Q4 EPS $1.19 ex-items, consensus $1.10. January weekly call option implied volatility is at 54, February is at 43, March is at 40; compared to its 26-week average of 35.

VIX methodology for Apple (VXAPL) @ 41.81, compared to its 50-day Moving Average of 29.39

Options expected to be active at CBOE:  IBM DAL BHI HAL MS EDU IBM FXCM AAPL NFLX

CBOE Equity Options Volume; calls 1,610.252, puts 1,095,682 total 2,705.934 cboe.com

CBOE EuroCurrency Volatility Index (EVZ) @ 14.55; compared to 50-day MA of 9.52

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 7.43 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 56.44, compared to its 50-day moving average of 44.27, WTI Crude oil trades above $47.50. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.39, compares to its 50-day moving average of 130.44. 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 1065.89 compared to its 10-day moving average of 1069.07 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 261.25 compared to its 50-day moving average of 262.38 cboe.com/micro/bxd/

CBOE Nasdaq-100 Volatility Index (VXN) at 21.22 compared to its 50-day moving average of 17.37.

CBOE 3-Month Volatility Index (VXV) at 21.15, compared to its 50-day moving average of 17.88 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.48, compared to its 10-day moving average of 19.20 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.89; compared to its 10-day moving average of 45.73.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.43 to 34.06

CBOE Volatility Index (VIX) at 20.95, compared to its 50-day moving average of 16.02 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 1.04 to $202.66 as European stocks gain for a fourth day to extend to their highest level since 2008.

Calls with increasing volume at CBOE:
SPY      1/17/2015 200 48K contracts
MNKD 2/20/2015 4.50 33K
CY        1/17/2015    14 24K
PBR     1/15/2016    20 20K
F          1/17/2015    15 19K
DIA      2/20/2015 177 18K
EEM     2/20/2015   40 16K