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