Blogging Options: CBOE Morning Update 2.13.15

Earnings continue to roll in, several misses and downgrades (GPS, Abercrombie).  Overseas markets higher except Japan.  Greece with softer tone as their financial situation deteriorates.  Expect this mornings action to be early, as Presidents Day long weekend upon us.  Volatility as an asset class:

AIG (AIG) is down $0.87 to $51.58 in the premarket after posting a less than expected Q4 profit. February weekly option implied volatility is at 58, February is at 28, March is at 24, April is at 21, May is at 20; compared to its 26-week average of 22.

Groupon (GRPN) is down $0.16 to $7.30 in the premarket after reporting Q4 revenue rose 20%. February weekly call option implied volatility is at 189, February is at 115, March is at 77, April is at 64; compared to its 26-week average of 53.

Columbia Sportswear (COLM) is up $2.71 to $46.30 in the premarket on Q4 earnings rising 51%. February call option implied volatility is at 59, March is at 34, April is at 32; compared to its 26-week average of 28.

VIX methodology for Google (VXGOG) at 19.35; compared to its 50-day moving average of 25.12.

VIX methodology for Amazon (VXAZN) at 27; compared to its 50-day moving average of 37.82

VIX methodology for Apple (VXAPL) at 26.05; compared to its 50-day moving average of 32.11  AAPL @ record high cboe.com/VXAPL

VIX methodology for IBM (VXIBM) at 20.58; compared to its 50-day moving average of 22.90.

VIX methodology for Goldman Sachs (VXGS) at 22.10; compared to its 50-day moving average of 25.02

CBOE Crude Oil Volatility Index (OVX) at 58.69, compared to its 50-day moving average of 53.12 WTI Crude oil @ $52. CBOE.com/OVX

Equity Options Volume 1,303,587 calls, 720,993 puts, 2,024,580 total cboe.com

Options expected to be active @ CBOE: AIG KING GRPN ZNGA CAG BYD CBS

CBOE EuroCurrency Volatility Index (EVZ) at 12.46; compared to 50-day MA of 10.95

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.49 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 129.95, compares to its 50-day moving average of 129.76. 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 @ 678.70: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1087.14 compared to its 10-day moving average of 1080.11 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.23 compared to its 50-day moving average of 262.73 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.10 compared to its 50-day moving average of 18.77.

CBOE 3-Month Volatility Index (VXV) at 18.34, compared to its 10-day moving average of 20.02 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.36, compared to its 50-day moving average of 16.96, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 42.31; compared to its 10-day moving average of 45.78.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 21c to 31.21

CBOE Volatility Index (VIX) at 15.34, compared to its 10-day moving average of 17.82 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 42c to $209.34 as European stocks rise with DAX above 11,000 on German growth data.

Calls with increasing volume at CBOE:

EEM       3/20/15    41 53K contracts
BAC   3/20/2015    17 37K
IWM  2/20/2015  120 21K
AAPL 2/13/2015  127 16K
SPY      3/6/2015 215.00 14K