2″ of rain and spectacular lightning meet Chicago traders on their way in from the train this morning. Alcoa kicked off Q1 earnings season with slight disappointment. Weekly Jobless in at 281K, FED minutes fairly dovish. European shares up, as is Oil (~1.5%). Masters starts today, nice to see Jack Nicklaus with a hole-in-one in yesterday’s Par-3 contest, as well as Tiger’s entourage. Volatility as an asset class:
Alcoa (AA) is down $0.37 to $13.31 in the preopen on a net profit of $195M from a loss of $178M a year earlier. A boost in the aluminum company’s smelting division and a shift in focus to value-added businesses – automotive and aerospace. April volatility elevated into Q1 and outlook. April weekly call option implied volatility is 58, April is 42, May is 38, June is 35, October is 34; compared to its 26-week average of 34.
Walgreens Boots Alliance (WBA) is up $1.78 to $89.46 after posting higher Q2 earnings and expands its restructuring program. April weekly call option implied volatility is at 55, April is at 36, May is at 27, July is at 24; compared to its 26-week average of 24.
Costco (COST) is down $1.21 to $150.79 in the preopen after reporting March net sales $10.4B vs. $10.43B last year. Overall option implied volatility of 16 compares to its 26-week average of 16.
CBOE Crude Oil Volatility Index (OVX) at 48.10; compared to its 50-day moving average of 53.96, WTI Crude oil near $51. CBOE.com/OVX
Equity Options Volume @ CBOE; 773,281 calls, 383,367 puts, 1,156,648 total cboe.com
Options expected to be active @ CBOE: AA BBBY ZNGA BABA COST L SBUX WBA
CBOE S&P 500 Skew Index (SKEW) at 124.24. 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 @ 675.95 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1106.78, compared to its 10-day moving average of 1098.79. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 271.08, compared to its 50-day moving average of 267.23. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 15.45, compared to its 10-day moving average of 16.75
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.80, compared to its 50-day moving average of 14.37. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 32.40, compared to its 50-day moving average of 39.01.
iPath S&P 500 VIX Short-Term Futures (VXX) at 23.83, compared its 50-day moving average of 28.71.
CBOE Volatility Index (VIX) at 13/98, compared to its 50-day moving average of 15.57 cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 0.42 cboe.com
SPDR S&P 500 ETF Trust (SPY) is up $027 to $208.24 as European stocks are at a seven-year high.
Calls with increasing volume at CBOE:
EEM 5/15/2015 44 32K contracts
MNKD 1/15/2016 3 18K
ASHR 4/17/2015 42 10K
AAPL 4/10/2015 126 10K
SPY 4/17/2015 210 8K
INTC 4/10/2015 32 5K