Blogging Options: CBOE Morning Update 1.29.15

US Stock Futures rallying after a few tough previous sessions.  Weekly Claims dropped sharply to 265K.  Overseas equities lower with FTSE sliding 0.8%.   MCD announces new CEO.  QCOM beats but guides lower.  Jeff Gundlach and Bill Gross with bearish comments.  17.6 mm option contracts yesterday. Volatility as an asset class:

Alibaba (BABA) is down $5.45 to $93 in the premarket following Q3 results. January weekly call option implied volatility is at 117, February is at 40, March is at 35, April is at 32, July is at 31; compared to its 21-week average of 35.

Facebook (FB) has rallied back to unchanged at $76.25 on Q4 revenue increasing 31%. January weekly call option implied volatility is at 91, February is at 46, March is at 37, April is at 32; compared to its 26-week average of 34.

Coach (COH) is up 1.54 to $38 in the premarket on Q2 EPS topping estimates by 6c.  January 30 weekly call option implied volatility is at 100, February is at 37, March and May is at 33; compared to its 26-week average of 32.

VIX methodology for Apple (VXAPL) at 30.83, compared to level of 45.75 from January 27.

Equity Options Volume 1,235,207 calls, 830,467 puts, 2,065,674 total cboe.com

Options expected to be active @ CBOE: BABA YHOO FB COH NOK DOW BAX EMC RIG F FB QCOM LVS CRUS

CBOE EuroCurrency Volatility Index (EVZ) @ 13.04; compared to 50-day MA of 10.12

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.60 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 55.18, compared to its 50-day moving average of 47.80, WTI Crude oil trades near $45 cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 123.76, compares to its 50-day moving average of 130.57 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 1066.09 compared to its 10-day moving average of 1069.29 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 259.95 compared to its 50-day moving average of 262.33 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 21.39 compared to its 50-day moving average of 17.94.

CBOE 3-Month Volatility Index (VXV) at 21.44, compared to its 50-day moving average of 18.41 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.78, 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 46.81; compared to its 10-day moving average of 45.42.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 37c to 34.30

CBOE Volatility Index (VIX) at 20.44, compared to its 50-day moving average of 16.55 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 39c to $200.53 as European stocks follow Asia lower, weighed down by a sell-off in oil and gas shares, after the Fed took an upbeat view on the U.S. economy and showed no sign of backing away from its near-pledge for a mid-year rate hike.

Calls with increasing volume at CBOE:

AAPL  1/30/2015  120  24K contracts
SPY    1/30/2015   205 12K
QQQ  1/30/2015  103 10K
AAPL  1/30/2015  110   9K
BAC   1/15/2016 15.00 9K