China growth target reduced overnight (7%, down from 7.5%) puts overseas stocks on the defensive. Dollar higher, European yields falling. Challenger Monthly Jobs Report shower rise in corporate layoffs. Piper downgrades MCD to neutral. Oil gave up overnight gains, metals flat. First day of CBOE’s Risk Management Conference went very well. #CBOERMC for updates. Volatility as an asset class
Costco (COST) is up $3.12 to $150.28 in the preopen after reporting FQ2 EPS of $1.35 on revenue of $27.45B, largely in line with estimates. Same-store sales grew 8%, beating expectations of 6.4% growth. March weekly call option implied volatility is at 32, March is at 18, April is at 17, July is at 16; compared to its 26-week average of 18.
Canadian Solar (CSIQ) is up $1.63 to $31.81 after reporting light Q4 EPS on better than expected revenue of $956M versus the consensus estimate of $953M. March weekly call option implied volatility is at 167, March is at 89, April is at 69, July is at 62; compared to its 26-week average of 71.
Joy Global (JOY) is recently down $2.98 to $39.15 after the heavy equipment provider lowered guidance. Tops Q1 EPS by 13c. March weekly call option implied volatility is at 67, March is at 41, April is at 34, July is at 29; compared to its 26-week average of 33.
Financial Select Sector (XLF) overall volatility at 16, 26-week average is 16 into Fed releasing results of annual stress tests of big banks.
Equity Options Volume @ CBOE; 798,636 calls, 489,223 puts, 1,287,859 total cboe.com
CBOE Crude Oil Volatility Index (OVX) at 48.92 compared to its 50-day moving average of 55.73 WTI Crude oil near $52. CBOE.com/OVX
Options expected to be active @ CBOE: CIEN COST CSIQ JOY FL ABBV PCYC
CBOE EuroCurrency Volatility Index (EVZ) at 11.01, compared to its 50-day moving average of 11.37
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.12 www.cboe.com/vxtyn
CBOE S&P 500 Skew Index (SKEW) at 127.89 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 @ 680.35: www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1093.26, compared to its 50-day moving average of 1080.31 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 268.49, compared to its 50-day moving average of 264.75. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 15.59, compared to its 50-day moving average of 17.88
CBOE 3-Month Volatility Index (VXV) at 16.90, compared to its 50-day moving average of 19.03. cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.28, compared to its 50-day moving average of 15.56. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 36.82, compared to 50-day moving average of 42.61.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 16c to 27.06
CBOE Volatility Index (VIX) at 14.23, compared to its 50-day moving average of 17.02 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 24c to $210.47 as China lowered its growth forecast to 7% for 2015, an acknowledgement of the “new normal” of slower growth in the world’s No.2 economy.
Calls with increasing volume at CBOE:
SPY 3/13/2015 211 32K contracts
PEP 4/17/2015 105 12K
MNKD 1/15/2016 7 12K
AAPL 3/6/2015 130 9K