Blogging Options: CBOE Morning Update 1.30.15

Ouch!  Q4 GDP came in with a gain of 2.6, down from 5% gain in Q3.  Consensus was a gain of ~3.5% but remember GDP will have two revisions.   The Consumer Spending component shower a nice spurt, but overall a terrible number.  Stocks off sharply pre-open.  AAPL, AMZN & GOOG should help NASDAQ markeT, Visa a DJIA component.   Volatility as an asset class:

Google (GOOG) is up $8.84 to $520.50 in the premarket as Q4 revenue grew 15%.  January weekly call option implied volatility is at 88, February is at 20, March is at 25; compared to its 26-week average of 23.

Amazon.com (AMZN) is up $33.50 to $345.10 on better than expected Q4 results. January weekly call option implied volatility is at 166, February is at 47, March is at 39; compared to its 26-week average of 34.

Visa (V) is recently up $11 to $259 in the premarket after announcing a Q1 profit increase of 11.5%. January weekly call option implied volatility is at 90, February is at 33, March is at 26; compared to its 26-week average of 21.

Equity Options Volume 1,143,484 calls, 902,777 puts, 2,046,261 total cboe.com

Options expected to be active @ CBOE: AMZN GOOG BABA BIIB V DECK MTW

CBOE EuroCurrency Volatility Index (EVZ) @ 12.57; compared to 50-day MA of 10.20

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.45 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 54.69, compared to its 50-day moving average of 48.23, WTI Crude oil trades near $45 cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 130.44, compares to its 50-day moving average of 130.60 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 1072.31 compared to its 10-day moving average of 1070.44 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.23 compared to its 50-day moving average of 262.32 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.49 compared to its 50-day moving average of 18.02.

CBOE 3-Month Volatility Index (VXV) at 20, compared to its 50-day moving average of 18.49 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 18.78, compared to its 10-day moving average of 19.21, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.32; compared to its 10-day moving average of 45.20.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 82c to 34.33

CBOE Volatility Index (VIX) at 18.76, compared to its 50-day moving average of 16.76 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $1.85 to $200.14 after 1Q GDP results and Eurostat reported the largest decline in consumer prices in the Eurozone since July 2009.

Calls with increasing volume at CBOE:

AAPL 1/30/2015 120 16K contracts
SPY    3/20/2015 215 15K
XHB   3/20/2015   36 11K
XLF    1/15/2016   26 10K

Puts with increasing volume at CBOE:

TSO 5/15/2015   60 53K contracts
SPY    2/6/2015 200 34K
XLF  3/20/2015   18 14K