January Non-Farm Payrolls grew 257K. Unemployment Rate rose one tick to 5.7%. November & December jobs revised higher, Participation Rate (at 36-year low) rose from 62.7% to 62.9%, still low but a move in the right direction. Hourly Earnings up as well. US stock futures like these numbers. European shares mostly lower. Oil slightly higher, 10-year at 1.88%, up 6 basis points. Volatility as an asset class:
Twitter (TWTR) is up $4.59 to $45.85 in the premarket after the company beat Q4 expectations on earnings and revenue, despite disappointing user growth figures, which just grew 1.4% Q/Q. February weekly call option implied volatility is at 189, February is at 87, March is at 64, June is at 52; compared to its 26-week average of 56.
GoPro (GPRO) is down $6.97 to $47.40 after reported strong Q4 results, with net income almost tripling to $122M, as strong demand for its wearable cameras got a boost during the holiday season. The company projected an unexpectedly weak Q1 profit estimate. February weekly call option implied volatility is at 220, February is at 100, March is at 74, July is at 59; compared to its 26-week average of 56.
LinkedIn (LNKD) is up $25.53 to $263.50 in the premarket after reporting solid revenue gains across segments in the Q4 as the social network continued its shift to mobile and international expansion, with nearly 70% of its members now outside the U.S. Adjusted net income in 2014 came in at $254M, compared to $192M in 2013. February weekly call option implied volatility is at 189, February is at 56, March is at 44, May is at 40; compared to its 26-week average of 42.
CBOE Crude Oil Volatility Index (OVX) at 63.14, above 50-day MA of 50.89 WTI Crude oil @ $52. CBOE.com/OVX
Equity Options Volume 1,023,640 calls, 679,280 puts, 1,702,920 total cboe.com
Options expected to be active @ CBOE: TWTR GPRO YELP BWLD LNKD YELP DV ALU P ANTM KO PEP
CBOE EuroCurrency Volatility Index (EVZ) at 12.55; compared to 50-day MA of 10.57
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.66 www.cboe.com/vxtyn
CBOE S&P 500 Skew Index (SKEW) at 127.54, compares to its 50-day moving average of 130.27. 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 1082.55 compared to its 10-day moving average of 1074.76 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 265.32 compared to its 50-day moving average of 262.38 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 19.27 compared to its 50-day moving average of 18.94.
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 15.31, compared to its 50-day moving average of 16.70, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 44.44; compared to its 10-day moving average of 45.27.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1c to 32.90
CBOE Volatility Index (VIX) at 16.85, compared to its 10-day moving average of 18.14 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 14c to $206.26 as the dollar gained some ground against other major currencies today, as markets eyed January’s employment report which will likely show non-farm payrolls increasing 234K last month after advancing by 252K in December.
Calls with increasing volume at CBOE:
SPY 6/30/2015 220 24K contracts
MNKD 5/15/2015 10 20K
JPM 1/15/2016 70 11K
AAPL 2/6/2015 120 10K
XLF 1/15/2016 26 8K
DVN 2/20/2015 67.50 7K