US Stocks and overseas markets flat to higher as investors weigh effect of European QE. Euro approaches 112. Death of King Abdullah puts little volatility in Oil markets as country will keep same policies. GE flat after earnings. F to take $800m currency charge. New Home Sales and Leading Indicators later this morning. Volatility as an asset class
Starbucks (SBUX) is up $4.14 to $86.88 in the premarket after reporting better than expected Q1 EPS 80c and guidance. January weekly call option implied volatility is at 78, February is at 24, April is at 20; compared to its 26-week average of 23.
Intuitive Surgical (ISRG) is down $5.38 to $520 after reporting Q4 EPS $4.92, compared to consensus $4.38. January weekly call option implied volatility is at 113, February is at 35, March is at 29, April is at 27, July is at 25; compared to its 26-week average 30.
Skyworks (SWKS) is down 33c to $79 in the premarket after the producer of analog semiconductors reported better than expected results and guidance. January weekly call option implied volatility is at 163, February is at 45, March is at 40; compared to its 26-week average of 34.
VIX methodology for Apple (VXAPL) @ 35.67, compared to its 50-day moving average of 30.29
Options expected to be active at CBOE: GE HON KSU VZ SBUX SWKS ETFC KLAC ISRG
CBOE EuroCurrency Volatility Index (EVZ) @ 11.62; compared to 50-day MA of 9.76
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.59 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 56.40, compared to its 50-day moving average of 45.83, WTI Crude oil trades above $47 cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 139.13, compares to its 50-day moving average of 130.43 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 1077.85 compared to its 10-day moving average of 1070.99 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 263.94 compared to its 50-day moving average of 262.37 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 17.07 compared to its 50-day moving average of 17.59.
CBOE 3-Month Volatility Index (VXV) at 18.60, compared to its 50-day moving average of 18.10 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.58, compared to its 10-day moving average of 19.46, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 42.26; compared to its 10-day moving average of 45.60.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 16c to 31.46
CBOE Volatility Index (VIX) at 16.40, compared to its 50-day moving average of 16.30 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 15c to $206.21 as European stocks extended seven-year highs following a strong Asian session overnight, after the ECB announced plans yesterday to expand asset purchases by €60B per month until at least September 2016.
Calls with increasing volume at CBOE:
SPY 3/20/2015 220 39K contracts
IWM 1/23/2015 120 18K
WMB 2/20/2015 45 18K
COP 2/20/2015 70 15K
AAPL 1/30/2015 110 14K