Blogging Options: CBOE Morning Update 2.5.15

Oil gains ~$1 in early session.  December Trade Deficit jumped 17%, partially due to strong dollar. Traders talking about Q4 GDP being revised lower from 2.6% gain to 2.2% growth.  European shares lower as talking heads can’t decide what is going on in Greece.  NIKKEI off 1%, 10-year at 1.8%.  NFP Employment # tomorrow. Volatility as an asset class:Hospira (HSP) is up $22.95 to $87.75 in the premarket on Pfizer (PFE) acquiring for $17B, $90 per share in cash. HSP overall option implied volatility of 27 compares to its 26-week average of 28.

Pfizer (PFE) is up 83c to $32.90.   Overall option implied volatility of 19 compares to its 26-week average of 18.

Michael Kors (KORS) is down $3.73 to $67.65 in the premarket after the luxury retailer reported Q3 EPS $1.48, consensus $1.33. KORS sees FY15 EPS $4.27-$4.30, consensus $4.17.

February weekly call option implied volatility is at 135, February is at 58, March is at 42, August is at 33; compared to its 26-week average of 34.

CBOE Crude Oil Volatility Index (OVX) at 62.73, above 50-day MA of 50.33 WTI Crude oil @ $49. CBOE.com/OVX

VIX methodology for Apple (VXAPL) @ 28.41, as Apple (AAPL) trades at record high. CBOE.com/VXAPL

Equity Options Volume 971,527 calls, 572,415 puts, 1,543,942 total cboe.com

Options expected to be active @ CBOE: TWTR AAPL GPRO UA GMCR YUM HSP PFE TEVA YELP BWLD LNKD

CBOE EuroCurrency Volatility Index (EVZ) @ 12.48; compared to 50-day MA of 10.51

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.88 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 126.20, compares to its 50-day moving average of 130.49.  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 1079.31 compared to its 10-day moving average of 1074.29 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 264.39 compared to its 50-day moving average of 262.31 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.16 compared to its 50-day moving average of 18.40.
CBOE 3-Month Volatility Index (VXV) at 20.43, compared to its 50-day moving average of 18.87 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 17.48, compared to its 50-day moving average of 16.60, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 46.11; compared to its 10-day moving average of 45.05.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 44c to 33.71

CBOE Volatility Index (VIX) at 18.32, compared to its 10-day moving average of 18.10 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 77c to $204.83 on Pfizer purchasing Hospira and German industrial orders in December surged to their highest level since April 2008, suggesting that Europe’s largest economy will gain steam.

Calls with increasing volume at CBOE:
SPY   2/20/2015 216 22K contracts
AAPL   2/6/2015 120 16K
IWM  3/31/2015 125 15K
MS    3/20/2015    35 10K
FXI    2/20/2015    46 10K