US futures and overseas markets drifting lower after several days of gains. Chinese exports drop sharply, concerning to those worried about world economies slowing. Oil higher, Gold lower, 10-year up fractionally. Economic news later in the week, Q1 earnings ramp up as well. Exciting Masters championship over the weekend. Volatility as an asset class:
Qualcomm (QCOM) is up $3.34 to $72.50 in the preopen on Jana Partners urging the chip company to consider a breakup according to a quarterly letter reviewed by the WSJ. Overall option implied volatility of 31 compares to its 26-week average of 22.
Sears (SHLD) closed at $42.93 and is up$0.90, announcing with Simon Property (SPG) a joint venture real estate holding. Option implied volatility of 49 compares to 26-week average of 58.
UnitedHealth (UNH) is up $2 to $121 Jefferies upgraded UnitedHealth to Buy saying the company’s outlook continues to improve. It believes headwinds are turning to tailwinds in UNH’s Medicare Advantage business and raised its price target for shares to $141 from $106. April call option implied volatility is at 34, May is at 25, June is at 21; compared to its 26-week average of 22.
VIX methodology for Apple (VXAPL) at 33.75 compare to its 50-day moving average of 28.36 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 43.05; compared to its 50-day moving average of 53.56, WTI Crude oil near $52.
Options expected to be active @ CBOE: QCOM SHLD SPG UA JNJ WFC JPM FAST CSX INTC BAC DAL
CBOE S&P 500 Skew Index (SKEW) at 127.22 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 @ 679.85 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1116.23, compared to its 10-day moving average of 1091.42. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 273.32, compared to its 50-day moving average of 267.70. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.10, compared to its 10-day moving average of 16.15
CBOE S&P 500 Short-Term Volatility Index (VXST) at 9.91, compared to its 50-day moving average of 14.01. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 29.92, compared to its 50-day moving average of 38.43.
iPath S&P 500 VIX Short-Term Futures (VXX) at 22.06, compared its 50-day moving average of 28.21.
CBOE Volatility Index (VIX) at 12.58, compared to its 50-day moving average of 15.33 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 31c to $209.73 as China’s exports fell in March while import shipments fell at their sharpest rate since the global financial crisis, setting a poor precursor to the country’s closely-watched Q1 GDP figure due on Wednesday.
Calls with increasing volume at CBOE:
AAPL 4/10/2015 127 30K contracts
SPY 4/10/2015 210 26K
GE 4/17/2015 27 11K
EEM 5/15/2015 44 10K
VXX 4/17/2015 31 10K
ASHR 5/15/2015 50 10K