Blogging Options: CBOE Morning Update 2.20.15

European markets turn slightly negative as Greece situation not resolved yet.  DE earnings beat lowered estimates but pared back guidance has shares off $1.25 to $90.46.  WMT said to be downgraded by Barclay’s, drops $1.00 to $82.52. Gold & Oil higher, US$ higher. Watch for bumpy early session on Greece deal/no deal.  Options volume average Thursday, SPX trades over 1mm contracts. Volatility as an asset class:

Global X FTSE Greece 20 ETF (GREK), sellers emerged in late trading, turning the index lower on the day, with Greek bailout talks with the EU occuring. March call option implied volatility is at 92, April is at 75, June is a 68; compared to its 26-week average of 52.

Marvell (MRVL) is down $0.24c to $16.15 iafter the chip maker reported better than expected Q4 and outlook. Marvell February call option implied volatility is at 146, March is at 47, April is at 43; compared to its 26-week average of 39.

Newmont Mining is higher by $0.38 to $24.84 in the premarket after reporting Q4 adjusted EPS 17c, consensus 10c on revenue $2B,  consensus was $1.81B. February call option implied volatility is at 77, March is at 37, April at 39, June at 36; compared to its 26-week average of 34.

CBOE Total Put/Call Ratio 0.96 cboe.com

CBOE Crude Oil Volatility Index (OVX) at 55.75, compared to its 50-day moving average of 54.70 WTI Crude oil @ $50. CBOE.com/OVX

Equity Options Volume 1,143,088, calls, 625,633 puts, 1,768,721 total cboe.com

Options expected to be active @ CBOE: DE COG IRM FUEL ANN NEM MRVL INTU AAPL BRCD

CBOE EuroCurrency Volatility Index (EVZ) at 11.93; compared to 50-day MA of 11.15

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 7.10 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 131.30, compares to its 50-day moving average of 129.68. 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 @ 680.80: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1087.06 compared to its 10-day moving average of 1085.25 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.38 compared to its 50-day moving average of 262.98 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.44 compared to its 50-day moving average of 18.82.

CBOE 3-Month Volatility Index (VXV) at 18.01, compared to its 10-day moving average of 19.08 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.34, compared to its 50-day moving average of 17.01, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 40.70; compared to its 10-day moving average of 43.58.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 7c to 30.19

CBOE Volatility Index (VIX) at 15.29, compared to its 10-day moving average of 16.34 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.44

SPDR S&P 500 ETF Trust (SPY) is recently down 12c to $210.10 as the euro fell before a European finance ministers’ meeting that could potentially affect Greece standing in the euro zone.

Calls with increasing volume at CBOE:

SPY     3/6/15 215 45K contracts
KO    5/15/15   44 30K
TWTR 3/6/15   50 11K
BAC 3/20/15   17 10K
F      2/20/15   15   9K