Blogging Options: CBOE Morning Update 2.11.15

Meetings in Brussels and Minsk overshadowing Q1 earnings today.  US stock futures mixed to lower, overseas markets much the same.  10-year unchanged.  Baltic Dry hitting a record low and this disturbing level starting to get attention. AOL earnings beat, revenues missed. Volatility as an asset class:

PepsiCo (PEP) is up $2.86 to $101.40 in the premarket after reporting Q4 core EPS $1.12, compared to consensus $1.08. February weekly call option implied volatility is at 31, February is at 20, March is at 16, July is at 15; compared to its 26-week average of 17.

Akamai (AKAM) is higher by $3.38 to $64.70 after reports Q4 EPS 70c, compared to consensus 63c. February weekly call option implied volatility is at 104, February is at 61, March is at 42, May is at 34, August is at 31; compared to its 26-week average of 32.

Time Warner (TWX) is up $0.49 to $81.30 in the premarket after reporting Q4 adjusted EPS 98c, consensus 93c. February weekly call option implied volatility is at 47, February is at 32, March is at 24, April is at 23; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) @ 25.91, $AAPL hits $710B market cap cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 59.29, compared to its 50-day moving average of 52.22 WTI Crude oil @ $50. CBOE.com/OVX

Equity Options Volume 897,029 calls, 590,045 puts, 1,487,074 total cboe.com

Options expected to be active @ CBOE: TSLA AKAM GNW PIR CHS FSLR PEP TWX AOL

CBOE EuroCurrency Volatility Index (EVZ) at 13.19; compared to 50-day MA of 10.81

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.99 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 126.51, compares to its 50-day moving average of 129.79. 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 @ 673.65: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1084.98 compared to its 10-day moving average of 1076.71 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.69 compared to its 50-day moving average of 262.57 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.45 compared to its 50-day moving average of 18.73.

CBOE 3-Month Volatility Index (VXV) at 19.73, compared to its 10-day moving average of 20.36 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.20, compared to its 50-day moving average of 16.98, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.83; compared to its 10-day moving average of 42.71.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 45c to 33.57

CBOE Volatility Index (VIX) at 17.23, compared to its 10-day moving average of 18.51 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 31c to $206.50 as European stocks pull back into Greece meeting.

Calls with increasing volume at CBOE:

SPY      3/6/2015 215 28K contracts
AAPL 2/13/2015 121 10K

Puts with increasing volume at CBOE:

SPY  2/20/2015 200 37K contracts
OPK 1/15/2016   17 6K