Blogging Options: CBOE Morning Update 4.16.15

Financial stocks doing well this morning on very good earnings, but markets watching European markets for direction.  DAX off ~1.6%, Oil nearing a 2% drop.  Housing Starts in March with a big miss, Weekly Claims rise. Blackhawks with double-overtime, come-from-behind win (game ended 11:25pm last night) has traders looking a little groggy this morning. VIX Futures with 13,500 contracts traded in extended overnight session.  Watch Europe.  Volatility as an asset class

Netflix (NFLX) is up $56.55 to $531.55 in the premarket after announcing a Q1 report which beat earnings, but sacrificed some profits to keep up with its aggressive international expansion. April call option implied volatility is at 161, May is at 58, June is at 42; compared to its 26-week average of 36.

SanDisk (SNDK) is down $5.32 to $65.80 following weak results and guidance. April call option implied volatility is at 88, May is at 42, July is at 37; compared to its 26-week average of 31.

Goldman Sachs (GS) is higher by $1.15 to $202.20 in the premarket on better than expected Q1 results and increases dividend to 65c from 60c.  April call option implied volatility is at 36, May is at 19, July is at 18; compared to its 26-week average of 20.

VIX methodology for Goldman Sachs (VXGS) at 20.82, compared to its 50-day moving average of 21.98. cboe.com/VXGS

VIX methodology for Google (VXGOG) at 25.77, compared to its 50-day moving average of 22.85. cboe.com/VXGOG

VIX methodology for Apple (VXAPL) at 34.91 compared to its 50-day moving average of 28.68 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 46.14; compared to its 50-day moving average of 52.84, WTI Crude oil near $56. CBOE.com/OVX

Equities options volume @ CBOE 1,066,847 calls, 631,818 puts, 1,698,665 total cboe.com

Options expected to be active @ CBOE: NFLX SNDK UNH PNRA C GS SLB

CBOE S&P 500 Skew Index (SKEW) at 119.71. SKEW measures the purchase of out-of-the-money SS&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 @ 680.50 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1119.92, compared to its 10-day moving average of 1094.16. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 274.31, compared to its 50-day moving average of 268.41.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.63, compared to its 50-day moving average of 16.13

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.59, compared to its 50-day moving average of 13.52. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.72, compared to its 50-day moving average of 37.40.

iPath S&P 500 VIX Short-Term Futures (VXX) at 22.30, compared its 50-day moving average of 27.46.

CBOE Volatility Index (VIX) at 12.94, compared to its 50-day moving average of 14.96 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 89c to $209.54 as Euro zone bond yields slid to new lows.

Calls with increasing volume at CBOE:

SPY    5/15/2015  220  62K contracts
BAC    5/15/2015    16  19K
QQQ     5/1/2015  110  13K
VALE 1/20/2017    10  11K
VXX   6/19/2015    37  11K