Blogging Options: CBOE Morning Update 4.15.15

BAC off fractionally as earnings swing to positive ($5.6B less in legal fees helps) but revenue misses.  DAL up $0.50 but even as earnings met, DAL sees turbulance with dollar ahead. GOOG with EU problems this morning. Several Chinese economic numbers missed overnight.  Oil up ~1%.  Empire State Manufacturing off ~1.2% for April (+6.9% March, +7% expected), New Orders at 2-year low. VIX settlement numbers will be released as they are available this morning.  Beige Book data after lunch.  US traders remember to file your taxes today. NHL Playoffs start tonight, Go BlackHawks!  Volatility as an asset class:

Intel (INTC) is up $1.08 to $32.57 in the premarket after reporting Q1 net income rose 3%. April call option implied volatility is at 54, May is at 27, June is at 22, October is at 21; compared to its 26-week average of 25.

CSX (CSX) is up $1.17 to $34.38 on better than expected Q1 results and approves a dividend increase. April call option implied volatility is at 53, May is at 28, August is at 22; compared to its 26-week average of 24.

Biogen (BIIB) is up $9.84 to $433.41 in the premarket on results from Phase 2 RENEW study of anti-LINGO-1 in acute optic neuritis clinical data. Overall option implied volatility of 35 compares to its 26-week average of 34.

VIX methodology for Google (VXGOG) at 25.79, compared to its 50-day moving average of 22.78. cboe.com/VXGOG

VIX methodology for Apple (VXAPL) at 35.58 compared to its 50-day moving average of 28.57 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 44.65; compared to its 50-day moving average of 53.07, WTI Crude oil near $54. CBOE.com/OVX

Equities options volume @ CBOE 827,264 calls, 546,388 puts, 1,373,652 total cboe.com

Options expected to be active @ CBOE: INTC CSX DAL ALU NOK BAC NFLX SNDK GOOGL

CBOE S&P 500 Skew Index (SKEW) at 123.64 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 @ 670.35 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1114.82, compared to its 10-day moving average of 1106. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 273.19, compared to its 50-day moving average of 268.17.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.46, compared to its 50-day moving average of 16.25

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.72, compared to its 50-day moving average of 13.70. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 30.38, compared to its 50-day moving average of 37.75.

iPath S&P 500 VIX Short-Term Futures (VXX) at 22.11, compared its 50-day moving average of 27.68.

CBOE Volatility Index (VIX) at 13.67, compared to its 50-day moving average of 15.09 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.66 to $210.15 as European shares traded at a 14-year high.

Calls with increasing volume at CBOE:

EMC  4/17/2015    26  17K contracts
BAC   4/17/2015    16  14K
ALU   4/17/2015       5 13K
SPY    6/19/2015  220 13K
DIS     4/17/2015  100   8K
XLF     4/17/2015  24.50 7K