Blogging Options: CBOE Morning Update 2.19.15

Pitchers and Catchers Report (to Spring Training).  This should have warmed up traders this morning with the temperature -8 degrees in Chicago but stock futures lower. Oil getting hammered on inventory build and no signs of world economies improving.  Greece proposal on bail-in is said to be rejected,  WMT reported earnings which beat (lower tax rate helped) but guided lower (from $1.10 to $0.90 to $1.10 range) and is off $1.20.  Overseas markets flat with European stocks watching Greece, metals higher. Volatility as an asset class:

SolarCity (SCTY) is down $2.54 to $52 in the pre-market after reporting a larger than expected Q4 loss and guided to a Q1 loss well below consensus estimates.  February call option implied volatility is at 124, March is at 54, April is at 46, July is at 42; compared to its 26-week average of 55.

Marriott (MAR) is up $2.65 to $84.10 on seeing Q1 EPS 68c-72c, compared to consensus 66c. The international hotel company sees FY15 EPS $3.00-$3.12, consensus $3.03. Overall option implied volatility of 25 is near its 26-week average of 23.

Williams (WMB) is up $0.32 to $49 in the preopen after the energy company reported Q4 EPS 26c, consensus 23c. February call option implied volatility is at 69, March is at 32, April is at 33, May is at 31; compared to its 26-week average of 29.

CBOE Total Put/Call Ratio 0.96 cboe.com

CBOE Crude Oil Volatility Index (OVX) at 55.97, compared to its 50-day moving average of 54.27 WTI Crude oil @ $50. CBOE.com/OVX

Equity Options Volume 971,501, calls, 562,922 puts, 1,534,423 total cboe.com

Options expected to be active @ CBOE: WMT SCTY SUNE TMUS ABX CAR NBL EQIX MRVL JWN IMAX HRL

CBOE EuroCurrency Volatility Index (EVZ) at 11.60; compared to 50-day MA of 11.08

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 7.04 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 127.42, compares to its 50-day moving average of 129.65. 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 @ 681.55: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1087.30 compared to its 10-day moving average of 1084.48 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.38 compared to its 50-day moving average of 262.93 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.90 compared to its 50-day moving average of 18.80.

CBOE 3-Month Volatility Index (VXV) at 18.66, compared to its 10-day moving average of 19.32 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.40, 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 41.59; compared to its 10-day moving average of 44.12.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 11c to 30.92

CBOE Volatility Index (VIX) at 15.45, compared to its 10-day moving average of 16.64 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 34c to $209.79 after minutes from the Federal Reserve’s latest meeting showed some policy makers argued for keeping rates low for longer amid risks facing the U.S. economy.

Calls with increasing volume at CBOE:

BAC  1/15/2016    20 34K contracts
PBR   3/20/2015     8 19K
IWM  3/31/2015 125 15K
SPY    3/31/2015 221 14K
TMUS 2/20/2015  29 11K