Blogging Options: CBOE Morning Update 4.10.15

Chicago traders had winds in excess of 90 mph visit the area last night. Apple watch release today viewed with great interest, still unsure of customer acceptance and full capabilities.  GE selling GE Capital, using ~$50B proceeds to acquire stock.  One of the largest buy-backs ever, and will help the DJIA this morning.  USD up, European shares higher as well.  Here’s hoping any presidential candidate announcements don’t cut into Masters coverage on Sunday.

Volatility as an asset class

General Electric (GE) is up $2.00 to $27.77 in the preopen on agreeing to sell $26B of its real estate holdings, to private-equity firm Blackstone Group (BX), Wells Fargo & Co.  (WFC) and other buyers. GE authorized a $50B share buyback. Overall option implied volatility of 19 compares to its 26-week average of 26-week average of 18.

Apple (AAPL) is down $0.60 to $125.94 in the preopen on the Apple Watch launch.  April call option implied volatility is at 28, May and June is at 29; compared to its 26-week average of 26.

VIX methodology for Apple (VXAPL) at 33.54 into Apple Watch launch cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 46.65; compared to its 50-day moving average of 53.80, WTI Crude oil near $51. CBOE.com/OVX

Equity Options Volume @ CBOE; 758,171, 452,847, 1,211,018 total cboe.com

Options expected to be active @ CBOE: GE BX WFC AAPL GPS NFLX

CBOE S&P 500 Skew Index (SKEW) at 125.87. 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 @ 677.40 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1111.42, compared to its 10-day moving average of 11090.41. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 271.94, compared to its 50-day moving average of 267.43.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.70, compared to its 10-day moving average of 16.60

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.41, compared to its 50-day moving average of 14.25. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 31.28, compared to its 50-day moving average of 38.77.

iPath S&P 500 VIX Short-Term Futures (VXX) at 22.90, compared its 50-day moving average of 28.56.

CBOE Volatility Index (VIX) at 13.09, compared to its 50-day moving average of 15.49 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.87 cboe.com

SPDR S&P 500 ETF Trust (SPY) is up 50c to $209.38 as Nikkei tops 20,000 and Europe trades at a 15-year high.

Calls with increasing volume at CBOE:
SPY    5/15/2015  219   20K contracts
EEM   5/15/2015  43.50 12K
GE      5/15/2015    26  11K
AAPL  4/10/2015  126  10K
YHOO 4/17/2015   40     8K

Puts with increasing volume at CBOE:
SPY   5/15/2015 190 21K contracts
IWM  5/15/2015 124 12K
QQQ    5/1/2015 106 10K
VALE  9/18/2015     5 10K