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