State of The Union with no surprises last night. US Housing in the news this morning with Dec. Starts rising 4% but Permits dropping 1.9%. Overseas markets mixed with NIKKEI off 0.5%, FTSE up 0.6% and Shanghai higher by 4%. 10-Year 1.78%. Average option volume yesterday with~15 m contracts traded. VIX & SPX showed 640 K & 893 K respectively. VIX Jan settlement this morning. Waiting for ECB tomorrow. Volatility as an asset class:
IBM (IBM) is down $4.04 to $152.90 in the premarket on lower than expected guidance. IBM January weekly call option implied volatility is at 53, February is at 25, April is at 22; compared to its 26-week average of 20.
Netflix (NFLX) is up $59.20 to $408 on better than expected Q4 results, outlook and adding more users than expected. January weekly call option implied volatility is at 96, February is at 55, March is at 47; compared to its 26-week average of 37.
Cree (CREE) is up $1.70 to $34.04 in the premarket on better than expected Q4 results and guidance. January call option implied volatility is at 134, February is at 61, June is at 49; compared to its 26-week average of 42
VIX methodology for Apple (VXAPL) @ 38.01, compared to its 50-day moving average of 29.71
Options expected to be active at CBOE: NFLX CREE IBM UNH GLD EBAY SNDK
CBOE Equity Options Volume; calls 942,491, puts 578,626, total 1,521,017 cboe.com
CBOE EuroCurrency Volatility Index (EVZ) @ 13.78; compared to 50-day MA of 9.60
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 7.24 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 57.99, compared to its 50-day moving average of 44.80, WTI Crude oil trades above $46.50. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 123.63, compares to its 50-day moving average of 130. 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 1067.79 compared to its 10-day moving average of 1069.11 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 261.64 compared to its 50-day moving average of 262.36 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 20.69 compared to its 50-day moving average of 17.46.
CBOE 3-Month Volatility Index (VXV) at 20.85, compared to its 50-day moving average of 17.97 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.94, compared to its 10-day moving average of 19.45, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 47.44; compared to its 10-day moving average of 45.89.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 16c to 35.27
CBOE Volatility Index (VIX) at 19.89, compared to its 50-day moving average of 16.14 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is off $0.46 to $201.59 as gold tops $1300 into expected ECB economic stimulus announcement.
Calls with increasing volume yesterday at CBOE:
AAPL 7/17/2015 115 9K contracts
MS 2/20/2015 35 8K
SPY 1/23/2015 207 7K
BAC 1/23/2015 15.50 7K
VXX 1/23/2015 40 6K
GDX 6/19/2015 31 6K