Blogging Options: CBOE Morning Update 4.14.15

Q1 earnings started hitting the tape before the open.  JPM up ~$1 on a beat, WFC also reports but earnings didn’t hit whisper number.  March Retail Sales up 0.9%, but below 1.1% consensus (X-Auto up 0.4%, +0.7% anticipated).  10-year drops to 1.88%, Crude up ~1%. Last day to trade April VIX, settles tomorrow AM.  Volatility as an asset class:

Alcatel-Lucent (ALU) is up $031 to $4.65 in the preopen on Nokia (NOK) confirms it’s in ‘advanced discussions’ to buy. Overall option implied volatility of 64 compares to its 26-week average of 44.

Nokia is down $0.34 to $7.96. Overall option implied volatility of 42 compares to its 26-week average of 33.

Norfolk Southern (NSC) is off $5.37 to $99.50 in the preopen on the railroad operator reported a larger than expected Q1 miss on lower than expected coal volumes.

VIX methodology for Apple (VXAPL) at 35.82 compared to its 50-day moving average of 28.49 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 44.20; compared to its 50-day moving average of 53.35, WTI Crude oil near $52. CBOE.com/OVX

Equities options volume @ CBOE 865,840 calls, 512,653 puts, 1,378,493 total cboe.com

Options expected to be active @ CBOE: ALU NOK NSC JPM WFC FAST INTC

CBOE S&P 500 Skew Index (SKEW) at 117.46 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 @ 677.60 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1112.52, compared to its 10-day moving average of 1105. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 272.26, compared to its 50-day moving average of 267.90.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.45, compared to its 10-day moving average of 16.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.49, compared to its 50-day moving average of 13.89. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 30.70, compared to its 50-day moving average of 38.14.

iPath S&P 500 VIX Short-Term Futures (VXX) at 22.84, compared its 50-day moving average of 27.94.

CBOE Volatility Index (VIX) at 13.94, compared to its 50-day moving average of 15.23 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 11c to $208.98 as violence increases in east Ukraine and WTI crude trades above $52 and Russia paving the way to sell missile delivery systems to Iran.

Calls with increasing volume at CBOE:

IWM  5/15/2015  131    42K contracts
SPY    4/17/2015  212.50 23K
XLF    5/15/2015    25   21K
BAC   4/17/2015    16   17K
ALU   1/15/2016  5.33  15K
XLK   6/19/2015    44    10K