Blogging Options: CBOE Morning Update 2.10.15

Overseas markets mixed to higher.  Bonds firm.  Oil down 1%.  GPS lower by $0.68 on lower sales, ARO lost less than expected and has added $0.40 in early action.  Watch the Greeks and Oil.  Volatility as an asset class:

Urban Outfitters (URBN) is up $2.54 to $39.05 in the premarket after reporting Q4 revenue of $1B, compared to consensus $997M. Q4 comparable Retail segment net sales increased 6%. Overall option implied volatility of 31 compares to its 26-week average of 30.

Qualcomm (QCOM) is higher by $1.89 to $69 after China’s National Development and Reform Commission fined the communications chips company $975M (less than the $1B previously reported). The company also hiked its FY15 guidance. Overall option implied volatility of 28 compare to its 26-week average of 23.

Coca-Cola (KO) is recently up $1.36 to $42.59 in the premarket after reporting Q4 comparable EPS 44c, compared to consensus 42c.  Global volume growth of 1% in the quarter. February volatility elevated into Q4 and outlook  February weekly call option implied volatility is at 38, February is at 25, March is at 20, April and May is at 18; compared to its 26-week average of 18.

CBOE Crude Oil Volatility Index (OVX) at 56, compared to its 50-day moving average of 51.75 WTI Crude oil @ $52. CBOE.com/OVX

Equity Options Volume 812,519 calls, 611,411 puts, 1,423,930 total cboe.com

Options expected to be active @ CBOE: TSLA URBN SDRL RIG QCOM GILD ANF

CBOE EuroCurrency Volatility Index (EVZ) at 13.51; compared to 50-day MA of 10.72

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.93 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 129.85, compares to its 50-day moving average of 130.05. 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 95-110 Collar Index CLL @ 668.50: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1081.93 compared to its 10-day moving average of 1075.55 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.04 compared to its 50-day moving average of 262.50 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.12 compared to its 50-day moving average of 18.65.

CBOE 3-Month Volatility Index (VXV) at 20.65, compared to its 50-day moving average of 18.65 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.87, compared to its 50-day moving average of 16.90, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 46.64; compared to its 10-day moving average of 46.08.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.29 to 33.18

CBOE Volatility Index (VIX) at 18.54, compared to its 10-day moving average of 18.51 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 1.54 to $206.22 as Chinese shares gained for a second day today as lower-than-expected inflation raised the prospect of further monetary easing.

Calls with increasing volume at CBOE:

SPY    4/17/2015 216 10K
AAPL 2/13/2015 120 6K
VXX    3/20/2015   51 6K
ALU   1/15/2016 4.33 6K
AA      4/17/2015   15 5K
ARCP  3/20/2015    9 5K