Stocks mixed as ADP comes in with 213K January jobs, below the 225K – 228K expected. Oil and European shares lower, Asian stocks modestly higher. Volatility as an asset class
Walt Disney (DIS) is up $3.81 to $97.91 in the premarket after reporting better than expected Q1 results and outlook. February weekly call option implied volatility is at 43, February is at 23, March and July is at 20; compared to its 26-week average of 21.
Gilead (GILD) is down $8.59 to $99.19 after reporting Q4 sales of $7.2B in sales, while net income at the biotech giant more than quadrupled to an adjusted $3.4B. Guidance for 2015, however, has some investors worried. February weekly call option implied volatility is at 79, February is at 35, March is at 31, April is at 30; compared to its 26-week average of 34.
Wynn Resorts (WYNN) is down $6.55 to $149.25 in the premarket after reporting less than expected Q4 results. February weekly call option implied volatility is at 71, February is at 45, March is at 33, June is at 32, September is at 28; compared to its 26-week average of 26
VIX methodology for Apple (VXAPL) at 27.59, compared to its 10-day moving average of 34.02.
Equity Options Volume 1,113,184 calls, 599,278 puts, 1,712,462 total cboe.com
Options expected to be active @ CBOE: GILD HUM DIS CMG WYNN COST MRK WHR CLX GM TTWO
CBOE EuroCurrency Volatility Index (EVZ) @ 12.20; compared to 50-day MA of 10.43
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.79 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 59.68, compared to its 50-day moving average of 49.74, WTI Crude oil trades near $51.50 cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 129.78, compares to its 50-day moving average of 130.70. 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 1080.34 compared to its 10-day moving average of 1073.42 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 264.35 compared to its 50-day moving average of 262.28 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 18.79 compared to its 50-day moving average of 18.31.
CBOE 3-Month Volatility Index (VXV) at 19.48, compared to its 50-day moving average of 18.78 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.48, compared to its 10-day moving average of 19.84, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 44.85; compared to its 10-day moving average of 44.96.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 28c to 33.52
CBOE Volatility Index (VIX) at 17.32, compared to its 10-day moving average of 18.15 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is off 0.20 to $204.64 as oil prices declined on renewed concerns over global demand brought an end to a rally that pushed up prices by about 19% over the past four sessions.
Calls with increasing volume at CBOE:
SPY 2/20/2015 216 30K contracts
AAPL 2/6/2015 120 9K
BAC 1/20/2017 17 7K
UAL 3/20/2015 70 7K
Puts with increasing volume at CBOE:
SPY 2/6/2015 200 36K contracts
USO 2/13/2015 17.50 9K
VXX 2/6/2015 30.50 9K
CVX 3/20/2015 95 8K
EWG 2/20/2015 29 7K
USO 2/20/2015 17.50 7K