Happy Groundhog Day. Futures higher. Shadows seen in Chicago this morning so bears looking to hibernate for next 24-hours. December Income +0.3% (+0.2% – +0.3% consensus), Spending dropped 0.3%, worst in over four years. ISM & Construction Spending later this morning, lots of Q1 earnings this week. Overseas markets mixed, 10-year 1.70%. 19″ of snow with blizzard conditions don’t slow down traders in Chicago. Great game last night, Superbowl theory says down for year? Volatility as an asset class:
Exxon (XOM) is off slightly as earnings and revenue disappointed many analysts. Q4 EPS $1.56, consensus lowered several times was $1.34. February weekly call option implied volatility is at 38, February is at 27, March is at 24, July is at 21; compared to its 26-week average of 19.
Buffalo Wild Wings (BWLD) is recently down $4.42 to $178.32 in the premarket a day after the Super Bowl and into the expected release of Q4 results on February 5. February call option implied volatility is at 46, March is at 37, June is at 35; compared to its 26-week average of 33.
VIX methodology for Apple (VXAPL) at 31.57, compared to level of 45.75 from January 27.
Equity Options Volume 1,121,537 calls, 757,868 puts, 1,879,405 total cboe.com
Options expected to be active @ CBOE: XOM BP CVX DECK SYY GILD UPS CMG TWTR DIS
CBOE EuroCurrency Volatility Index (EVZ) @ 12.68; compared to 50-day MA of 10.27
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.52 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 58.62, compared to its 50-day moving average of 48.72, WTI Crude oil rally’s to $47.50 cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 125.36, compares to its 50-day moving average of 130.63 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 1064.10 compared to its 10-day moving average of 1071.36 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 259.70 compared to its 50-day moving average of 262.26 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 21.59 compared to its 50-day moving average of 18.41.
CBOE 3-Month Volatility Index (VXV) at 21.82, compared to its 50-day moving average of 18.61 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.17, compared to its 10-day moving average of 18.95, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 49.60; compared to its 10-day moving average of 45.30.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.23 to 35.66
CBOE Volatility Index (VIX) at 20.97, compared to its 50-day moving average of 16.90 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 0.32 to $199.77 as stocks have fallen in Europe and Asia. Today is the first trading day of the month, and the market will be trying to snap its two month losing streak.
Calls with increasing volume at CBOE:
SPY 1/30/2015 202 24K contracts
AAPL 1/30/2015 120 22K
CSCO 2/20/2015 28 13K
PFE 6/19/2015 34 13K
Puts with increasing volume at CBOE:
IWM 5/15/2015 100 84K contracts
SPY 1/30/2015 200 42K
AAPL 1/30/2015 118 12K