Blogging Options: CBOE Morning Update 2.26.15

Big News at CBOE this morning, with CBOE announcing licensing agreement with London Stock Exchange Group (LSEG), to develop and list options based on more than two dozen FTSE and Russell indices and new products as well.   Scroll down to previous blog to get the details, we’re excited about this.

Weekly Claims rose 31K, the most in 14 months.  US stock futures have turned lower, Oil off almost 3%, near $49.50bbl. Volatility as an asset class

Salesforce.com (CRM) is up $7.73 to $70.60 in the premarket after reporting fourth-quarter earnings and revenue that met analyst expectations and strong growth in deferred sales. February weekly call option implied volatility is at 118, March is at 45, April is at 36, May is at 32; compared to its 26-week average of 33.

TASER (TASR) is down $1.28 to $25.77 after reporting less than expected Q4 EPS on better than expected revenue.  March call option implied volatility is at 60, April is at 55, June is at 53; compared to its 26-week average of 53.

SeaWorld (SEAS) is off $0.80 to $19.60 in the premarket on a better than expected Q4 loss on and above estimated revenue. March call option implied volatility is at 49, April is at 31, July is at 27; compared to its 26-week average of 34.

VIX methodology for Apple (VXAPL) at 28.04, compared to its 50-day moving average of 31.91. cboe.com/VXAPL

Equity Options Volume @ CBOE; 1,074,931 calls, 684,344 puts, 1,759,275 total  cboe.com
CBOE Total Put/Call Ratio 1.00 cboe.com

CBOE Crude Oil Volatility Index (OVX) at 54.93 compared to its 50-day moving average of 55.89 WTI Crude oil @ $51. CBOE.com/OVX

Options expected to be active @ CBOE: RIG BAC CRM MBLY JCP KSS DDD

CBOE EuroCurrency Volatility Index (EVZ) at 8.97, compared to its 10-day moving average of 11.45.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.41 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 268.82, compared to its 50-day moving average of 263.54. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.38, compared to its 50-day moving average of 18.54

CBOE 3-Month Volatility Index (VXV) at 16.87, compared to its 50-day moving average of 19.44. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.64, compared to its 50-day moving average of 16.45. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.95, compared to 50-day moving average of 43.33.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 31c to 27.78

CBOE Volatility Index (VIX) at 13.84, compared to its 50-day moving average of 17.68 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) flat as Eurozone yields have dropped to new all-time lows with Mario Draghi comments late yesterday and ahead of the start of QE.

Calls with increasing volume at CBOE Wed included:
AAPL   2/27/2015  131 18K contracts
KO       5/15/2015    44 13K
GE        4/17/2015   26 12K
VALE    3/20/2015     8 11K
SPY      2/27/2015 213 10K