Stocks look modestly higher pre-market. Royal Dutch $69.6B merger (see below) talk of trading desks. AA kicks off Q1 earnings after the close, street looking for $0.26 (Implied volatility says 4.75% range expected). Fairly slow action in the options world yesterday as ~12.7 million contracts change hands. SPX with 675K, VIX with ~335K, RUT 48K. Rahm Emanuel wins Mayoral election in Chicago with 55.7% of vote. Volatility as an asset class:
Royal Dutch Shell (RDS.A, RDS.B) is down 86c to $61.09 in the preopen after agreeing to buy Britain’s BG Group for about $69.6B in cash and shares. April, May and June option implied volatility of 23 compares to its 52-week average of 24.
Exxon Mobil (XOM) option implied volatility of 17 compares to its 26-week average of 18.
BP (BP) overall option implied volatility of 23 compares to its 26-week average of 22.
ConocoPhillips (COP) option implied volatility of 23 compares to its 26-week average of 23.
Chevron (CVX) overall option implied volatility of 18 compares to its 26-week average of 20.
Marathon Oil (MRO) option implied volatility of 29 compares to its 26-week average of 34.
CBOE Crude Oil Volatility Index (OVX) at 46.25; compared to its 50-day moving average of 54.13, WTI Crude oil near $53. CBOE.com/OVX
Options expected to be active @ CBOE: AA BBBY RDS.A WBA STZ BP
CBOE S&P 500 Skew Index (SKEW) at 121.34. 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 @ 674.65 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1103.42, compared to its 10-day moving average of 1098.61. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 270.57, compared to its 50-day moving average of 267.09. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.39, compared to its 10-day moving average of 16.72
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.90, compared to its 50-day moving average of 14.42. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 32.96, compared to its 50-day moving average of 39.19.
iPath S&P 500 VIX Short-Term Futures (VXX) at 24.27, compared its 50-day moving average of 28.88.
CBOE Volatility Index (VIX) at 14.78, compared to its 50-day moving average of 15.60 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up $0.24 to $207.52 as The Nikkei has hit a 15-year high. The Bank of Japan kept its monetary liquidity on, with the BOJ’s board voting 8-1 to maintain its asset-purchase target at ¥80T a year.
Calls with increasing volume at CBOE:
AAPL 4/10/2015 128 7K contracts
EWZ 5/15/2015 35 7K
SPY 6/19/2015 220 6K
ALU 6/19/2015 4 5K
AA 4/17/2015 15 5K