Traders watching Europe warily this morning. Greece situation unclear and Ukraine cease-fire being ignored by rebels. Producer Prices drop 0.8%, X-Food & Energy fell 0.1% (-0.3% and +0.1% expected). January Housing Starts and Permits came in less than expected, and Mortgage Apps fell 13%. CAT accounting under review by Feds, Soft opening expected. Volatility as an asset class
Hilton (HLT) is down $0.70 to $27.95 in premarket as lodging company sees FY15 adjusted EPS 78c-83c, compared to consensus 85c. February call option implied volatility is at 50, March is at 28, June is at 25; compared to its 26-week average of 26.
Yandex (YNDX) is up $0.96 to $17.64 in the premarket after Russian internet portal reported Q4 revenue RUR 14.7B, consensus RUR 14.74B. February call option implied volatility is at 99, March is at 59, May is at 60; compared to its 26-week average of 47.
VIX methodology for Apple (VXAPL) @ 26.78, AAPL @ record high cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 56.33, compared to its 50-day moving average of 53.86 WTI Crude oil @ $53. CBOE.com/OVX
Equity Options Volume 1,008,659, calls, 566,234 puts, 1,594,893 total cboe.com
Options expected to be active @ CBOE: AAPL HLT DE H YNDX
CBOE EuroCurrency Volatility Index (EVZ) at 11.95; compared to 50-day MA of 11.03
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.83 www.cboe.com/vxtyn
CBOE S&P 500 Skew Index (SKEW) at 127.42, compares to its 50-day moving average of 129.70. 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 @ 682.05: www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1087.26 compared to its 10-day moving average of 1083.78 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 266.39 compared to its 50-day moving average of 262.87 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 15.96 compared to its 50-day moving average of 18.78.
CBOE 3-Month Volatility Index (VXV) at 18.40, compared to its 10-day moving average of 19.40 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.55, compared to its 50-day moving average of 16.97, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 41.93; compared to its 10-day moving average of 44.45.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 17c to 31.22
SPDR S&P 500 ETF Trust (SPY) is down 0.31c to $209.80 on hopes for a Greece bailout deal with the EU.
Calls with increasing volume at CBOE:
AAPL 2/20/2015 128 13K contracts
SPY 2/20/2015 212 12K
Puts with increasing volume at CBOE:
SPY 2/20/2015 204 38K contracts
EEM 3/20/2015 38 15K