Greece election and renewed unrest in Ukraine on the frontburner this morning. Euro hit new lows overnight but has rallied. VIX futures average volume in overnight session. Earnings watched closely this week. Overseas markets mixed, Gold lower. A monster snowstorm is headed to the US East coast tonight, some traders wondering if early hours Tuesday. Chicago Cubs legend Ernie Banks passed away this weekend, all of Chicago in mourning. Volatility as an asset class:
Global X FTSE Greece 20 ETF is down 53c to $12.53 in the premarket as investors digest news that the left-wing, anti-austerity Syriza party won a general election in Greece on Sunday. Global X FTSE Greece 20 ETF February call option implied volatility is at 98, March is at 79, April is at 63; compared to its 26-week average of 40.
National Bank of Greece (NBG) is off $0.10 to $1.58. Overall option implied volatility of 105 compares to its 26-week average of 80.
Microsoft (MSFT) is up $0,22 to $47.40 in the premarket into the expected release of Q2 results today after the market close. January weekly call option implied volatility is at 34, February is at 23, March is at 20; compared to its 26-week average of 20.
VIX methodology for Apple (VXAPL) @ 35.91, compared to its 50-day moving average of 30.56
Options expected to be active at CBOE: OCN MSFT PG UTX STX TXN NSC COH T
CBOE EuroCurrency Volatility Index (EVZ) @ 11.62; compared to 50-day MA of 9.82
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 7.04 into FOMC meeting www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 57.62, compared to its 50-day moving average of 46.37, WTI Crude oil trades near $45 cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 132.09, compares to its 50-day moving average of 130.46 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 1076.90 compared to its 10-day moving average of 1069.15 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 263.47 compared to its 50-day moving average of 262.38 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 17.06 compared to its 50-day moving average of 17.65.
CBOE 3-Month Volatility Index (VXV) at 19, compared to its 50-day moving average of 18.18 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.08, compared to its 10-day moving average of 19.34, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 43.43; compared to its 10-day moving average of 45.78.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 25c to 32.35
CBOE Volatility Index (VIX) at 16.66, compared to its 50-day moving average of 16.38 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 41c to $204.53 amid the Greek election results, an escalation of violence in the Ukraine, lower energy prices and anxiety over the upcoming snow storm in the Northeast.
Calls with increasing volume at CBOE:
EWJ 3/20/2015 13 30K contracts
AAPL 1/23/2015 113 23K
SPY 1/30/2015 207 21K
Puts with increasing volume at CBOE:
IWM 2/20/2015 105.00 39K contracts
SPY 1/30/2015 200 29K
HCA 2/20/2015 66 15K
EEM 2/20/2015 38 12K