Blogging Options: CBOE Morning Update 2.12.15

Futures markets ignore the weak January Retail Sales report (off 0.8%, X-autos down 0.9%, December also lower by  0.9% the month before) and  move modestly higher. Weekly Claims above 300 K again. Mixed signals on Greece.  Expedia plans an offer for Orbitz.  Several earnings reports this morning.  Volatility as an asset class

Tesla (TSLA) is down $15.85 to $196.87 in the premarket after reporting deliveries fell short, problems affected production. Q4 EPS of ($0.13), $0.44 worse than the analyst estimate of $0.31. February weekly call option implied volatility is at 141, February is at 81, March is at 55, June is at 47; compared to its 26-week average of 45.

Cisco Systems (CSCO) is up $1.82 to $28.75 in the premarket after the company reported impressive FQ2 results following five straight quarters of slumping profit and sluggish sales. February weekly call option implied volatility is at 75, February is at 40, March is at 27, April is at 22; compared to its 26-week average of 20.

Whole Foods Market (WFM) is up $1.31 to $54.82 in the premarket after reporting Q1 EPS of $0.46, $0.01 better than the analyst estimate of $0.45. February weekly call option implied volatility is at 106, February is at 59, March is at 40, May is at 33, August is at 28; compared to its 26-week average of 30.

VIX methodology for Apple (VXAPL) @ 26.16, compared to its 50-day moving average of 32.17. cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 60.23, compared to its 50-day moving average of 52.69 WTI Crude oil @ $50. CBOE.com/OVX

Equity Options Volume 1,050,724 calls, 658,556 puts, 1,709,280 total cboe.com

Options expected to be active @ CBOE: TSLA AKAM ZU TRIP WFM CSCO FEYE

CBOE EuroCurrency Volatility Index (EVZ) at 13.07; compared to 50-day MA of 10.89

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.63 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 128.38, compares to its 50-day moving average of 129.72. 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 @ 673.80: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1085.17 compared to its 10-day moving average of 1078.63 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.89 compared to its 50-day moving average of 262.64 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.39 compared to its 50-day moving average of 18.78.

CBOE 3-Month Volatility Index (VXV) at 19.70, compared to its 10-day moving average of 20.18 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.28, compared to its 50-day moving average of 17, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.20; compared to its 50-day moving average of 42.88.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 90c to 32.41

CBOE Volatility Index (VIX) at 16.95, compared to its 10-day moving average of 18.16 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 1.14 to $208.08 on a ceasefire between Russia and Ukraine.

Calls with increasing volume at CBOE:

AAPL  2/20/2015 125 18K
CSCO 2/20/2015   28 17K
IWM   2/20/2015 122 14K
SPY     2/13/2015 207 12K
WBA   3/20/2015   80 10K

Puts with increasing volume at CBOE:

RSX    2/27/2015     15   49K contracts
SPY    2/20/2015 202.50 30K
EWW  3/20/2015    54  10K
EWZ   3/20/2015    30    7K
AAPL 2/13/2015  124    6K