Blogging Options: CBOE Morning Update 2.25.15

Good day for stocks yesterday as Chairperson Yellen gave calming testimony at semi-annual Humphrey Hawkins visit to Capitol Hill. She visits the House this morning for Day Two.  TGT beat estimates, rises $0.90, LOW does the same and rises $1.65.   Case Shiller Home prices rose less than expected.  President is said to have vetoed Keystone Pipeline, should have no effect on stocks.  European shares retreat, Gold & Oil higher, 10-Year yield below 2%.  Derrick Rose and Patrick Kane out indefinitely, bad day for sports fans in Chicago.  Volatility as an asset class

HP (HPQ) is down $2.55 to $35.94 in the preopen after reporting flat or lower Q1 revenue at all its operating units.  February weekly call option implied volatility is at 69, March is 35, April is at 29, August is at 27; compared to its 26-week average of 27.

Chicago Bridge & Iron (CBI) is up $1.27 to $42.99 on 2015 guidance cut was less than feared while management offered solid guidance despite the recent oil and gas spending concerns.  February weekly call option implied volatility is at 79, March is at 45, April is at 42, July is at 38; compared to its 26-week average of 44.

Chesapeake (CHK) is down 63c to $19.25 in the preopen on less than expected Q4 results and lower 2015 production growth rates. February weekly call option implied volatility is at 62, March is at 43, April is at 42, July is at 39; compared to its 26-week average of 39.

VIX methodology for Apple (VXAPL) at 26.27, compared to its 50-day moving average of 31.95. cboe.com/VXAPL

Equity Options Volume @ CBOE; 1,053,088 calls, 599,174 puts, 1,652,262 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 56.27 compared to its 50-day moving average of 55.69 WTI Crude oil @ $49. CBOE.com/OVX

Options expected to be active @ CBOE: HPQ LOW TGT CBI SAM JCP TJX

CBOE EuroCurrency Volatility Index (EVZ) at 10.29, compared to its 10-day moving average of 11.27.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.42 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 136.25 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 @ 685.65: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1094.13, compared to its 50-day moving average of 1074.81 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 268.62, compared to its 50-day moving average of 263.37. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.26, compared to its 50-day moving average of 18.66,

CBOE 3-Month Volatility Index (VXV) at 16.70, compared to its 50-day moving average of 19.51. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.94, compared to its 50-day moving average of 16.66. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.69, compared to 50-day moving average of 43.44.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1c to 27.95

CBOE Volatility Index (VIX) at 13.69, compared to its 50-day moving average of 17.80 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 16c to $211.68 into Fed Chair Janet Yellen’s second day of semi-annual congressional testimony, where she will appear in front of the House Financial Services Committee.

Calls with increasing volume at CBOE:

KO    5/15/2015     44 19K contracts
GE     4/17/2015    26 18K
BAC  6/19/2015    18 18K
AAPL 2/27/2015 133 18K
SPY    3/20/2015   220 8K