Blogging Options: CBOE Morning Update 1.22.15

US stocks with premarket euphoria but “sell the news” give back gains.  ECB announced $60B (Euro) Bond purchase per month for next ~20 months.  Euro down 1.25% vs the USD, now at 1.147. All Euro currencies lower except Swiss which is unchanged.   Weekly Jobless Claims above 300K again. VZ off 2% on earnings.  VIX lower. Volatility as an asset class

eBay (EBAY) is up $1.82 to $55.20 following Q4 results and guidance. January weekly call option implied volatility is at 69, February is at 28, April is at 24; compared to its 26-week average of 27.

American Express (AXP) is down $3.47 to $84.20 after the card company reported a Q4 revenue increase of 6.6% from a year earlier and would cut 4,000 jobs. January weekly call option implied volatility is at 37, February is at 27, March is at 20; compared to its 26-week average of 21.

F5 Networks (FFIV) is down $15.95 to $110 after the networking company on less than expected guidance. January weekly call option implied volatility is at 87, February is at 36, March is at 30; compared to its 26-week average of 28.

VIX methodology for Apple (VXAPL) @ 38.07, compared to its 50-day moving average of 30.02

Options expected to be active at CBOE:  EBAY SNDK XLNX UAL VZ ALK

CBOE Equity Options Volume; calls 865.632, puts 519.089, total 1,384,721 cboe.com
CBOE Total Put/Call Ratio 1.07 cboe.com

CBOE EuroCurrency Volatility Index (EVZ) @ 13.64; compared to 50-day MA of 9.69

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.91 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 55.09, compared to its 50-day moving average of 45.30, WTI Crude oil trades above $47. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 134.30, compares to its 50-day moving average of 130.18 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 1070.60 compared to its 10-day moving average of 1070.29 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.18 compared to its 50-day moving average of 262.35 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.02 compared to its 50-day moving average of 17.55.
CBOE 3-Month Volatility Index (VXV) at 20.04, compared to its 50-day moving average of 18.05 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 20.36, compared to its 10-day moving average of 19.43, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.28; compared to its 10-day moving average of 45.69.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 43c to 33.02

CBOE Volatility Index (VIX) lower this morning at 17.20, compared to its 50-day moving average of 16.24 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 25c to $203.33 as ECB  unveils QE.

Calls with increasing volume at CBOE Wednesday:
SIRI    6/19/2015  3.50 36K contracts
AAPL  1/23/2015  110 12K
SPY     1/23/2015    205 9K
EWI     6/19/2015      15 6K
OIH     1/30/2015      34 6K
FXE      3/20/2015    113 5K
PFE      6/19/2015      35 5K