Blogging Options: CBOE Morning Update 1.27.15

17,8  s 9   v 430

Ugly day on Wall Street – not the weather, earnings.  Several DJIA components have reported, with earnings missing and guidance lowered.  Durable Goods for December showed a surprising 3.4% drop (rise if 0.4% expected), X-transports –0.8% (+0.5% expected) and November revised sharply lower.  US stock futures had shown the DJIA opening down 200 points, after the Durables maybe 300 points.  Bonds rallying. 25K VIX futures trade in early session.  Option volume yesterday good, with 17.8mm contracts trading.  ~900K SPX and 430K VIX contracts at CBOE.   Volatility as an asset class

Microsoft (MSFT) is down $3.71 to $43.30 in the premarket on inline Q2 results and concerns of underlying trends in Windows and Office. January weekly call option implied volatility is at 43, February is at 25, March is at 20; compared to its 26-week average of 20.

Procter & Gamble (PG) is down $2.38 to $87.20 in the premarket after warning on negative forex impact to 2H results. January weekly call option implied volatility is at 29, February is at 16, March is at 15; compared to its 26-week average of 14.

Caterpillar (CAT) is off $6.76 to $79.40 in the premarket after FY15 outlook misses expectations. January weekly call option implied volatility is at 54, February is at 29, May is at 23; compared to its 26-week average of 21.

VIX methodology for Apple (VXAPL) @ 39.98, compared to its 50-day moving average of 30.91

Options expected to be active at CBOE: PII DNKN UTX TXN MSTR RMBS PG GLW BMY CAT MSFT PFE MMM

CBOE EuroCurrency Volatility Index (EVZ) @ 13.61; compared to 50-day MA of 9.93

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.83 into FOMC meeting www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 56.65, compared to its 50-day moving average of 46.89, WTI Crude oil trades near $45 cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 135.02, compares to its 50-day moving average of 130.61 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 1079.10 compared to its 10-day moving average of 1069.33 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.98 compared to its 50-day moving average of 262.51 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.96 compared to its 50-day moving average of 17.70.

CBOE 3-Month Volatility Index (VXV) at 18.05, compared to its 50-day moving average of 18.23 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.88, compared to its 10-day moving average of 19.31, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 41.42; compared to its 10-day moving average of 45.61.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 62c to 31.27

CBOE Volatility Index (VIX) at 15.22, compared to its 50-day moving average of 16.44 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down $2.25 on weaker than expected transnational corporate earnings affected by the strong dollar.

Calls with increasing volume at CBOE:

SPY    1/30/2015 209 16K contracts
WMB 4/17/2015   50 13K
AAPL 3/20/2015 130 11K
IWM  2/20/2015 121 11K
MSFT 2/20/2015   47   7K

Puts with increasing volume at CBOE:

SPY   3/20/15  160 29K contracts
IWM 2/20/15  115 10K
JIVE   2/20/15      5 10K
CAT  1/30/15      83 7K
VXX  2/20/15      28 6K
INTC 3/20/15     36 6K
QQQ 2/20/15  100 6K