Blogging Options: CBOE Morning Update 2.24.15

JPM said to close over 25% of its branches and cut additional costs.  It also said due to “new federal regulations” it will reduce “$100B of non-operating deposits”, expected by traders to be a NIRP. JPM shares up $1.30 on heavy volume.  HD beat, raised its dividend and stock buy-back and said same-store sales exceeded expectations, but warned about currency translations possibly costing $0.06 per share in 2015. US Stock Futures mixed. Ms. Yellen reads from script this afternoon. Volatility as an asset class:

Comcast (CMCSA) is down $0.10 to $58.11 in the preopen after reporting Q4 adjusted EPS 77c, compared to consensus 78c. The communications and entertainment company increased its dividend and share repurchases. February weekly call option implied volatility is at 31, March is at 26, April is at 23; compared to its 26-week average of 22.

Express Scripts (ESRX) is up $1.58 to $88.30 after the prescription-drug benefits manager reported Q4 profit rose 13%. February weekly call option implied volatility is at 45, March is at 25, May is at 20, July; compared to its 26-week average of 22.

Domino’s Pizza (DPZ) is off $1.25 to $103.25 in the preopen after reporting lighting Q4 EPS on better than expected revenue of $642M.  March call option implied volatility is at 36, April is at 27, June and September is at 24; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) at 26.67, below its 50-day moving average of 32.03. cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 58.67 compared to its 50-day moving average of 55.41 WTI Crude oil @ $49. CBOE.com/OVX

Options expected to be active @ CBOE: SPWR FSLR TSL JASO SUNE CSIQ SCTY BHP HD DDS M HPQ CBI TOL

CBOE EuroCurrency Volatility Index (EVZ) at 11.15, compared to its 10-day moving average of 12.20.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.86 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 134.66 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 @ 684.05: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1092.51, compared to its 50-day moving average of 1074. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.93, compared to its 50-day moving average of 263.19. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.87, compared to its 50-day moving average of 18.76

CBOE 3-Month Volatility Index (VXV) at 17.55, compared to its 50-day moving average of 19.56. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.16, compared to its 50-day moving average of 16.88. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 39.35, compared to 50-day moving average of 43.50.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 24c to 28.90

CBOE Volatility Index (VIX) at 14.56, compared to its 50-day moving average of 17.90 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 10c to $211.10 Fed Chair Janet Yellen is scheduled to testify before the Senate banking committee in her semi-annual report on monetary policy today, and will appear before the House Financial Services Committee on Wednesday.

Calls with increasing volume at CBOE:

VXX    3/20/2015   30  22K contracts
AAPL 2/27/2015 133  14K
MRK  4/17/2015   60    9K

Puts with increasing volume at CBOE:

TCK  5/15/2015   16 20K contracts
SPY  2/27/2015 207 11K
CTIC 3/20/2015     2 10K
X      4/17/2015    24 10K
VXX  3/20/2015   26   8K
PBR 1/15/2016      8   7K