US and European stock futures with a nice bounce (DAX up 1.4%) after last weeks pounding, Asian shares lower. China cuts reserves a larger than expected 100 basis points. Oil and Gold lower, bonds flat. Lots of earnings reports this week. PG and COST raised dividends this morning. Option volume on Expiration Friday very good, as over 21.8 million contracts change hands, 1.15mm in SPX. MSCI EEM, EAFE Index options launch tomorrow. Volatility as an asset class:
Morgan Stanley (MS) is up $0.76 to $37.45 in the preopen on better than expected Q1 and raising its quarterly dividend to 15c. April weekly call option implied volatility is at 28, May is at 20, June is at 17; compared to its 26-week average of 23.
Halliburton (HAL) is higher by $0.11 to $47 after reporting Q1 adjusted EPS 49c, consensus 37c, tempers guidance lower. April weekly call option implied volatility is at 4-, May is at 28, June is at 27, July and October is at 26; compared to 26-week average of 32.
Tesla (TSLA) is down $0.44 to $206.35 in the preopen after JPMorgan cut its price target for Tesla shares to $165 from $175 and lowered its earnings estimates to reflect adverse currency moves, higher operating costs and slower than earlier expected Model X ramp. April weekly call option implied volatility is at 47, May is at 53, June is at 43; compared to its 26-week average of 45 according to Track Data, suggesting large May price movement into the expected release of Q1 results on May 5.
VIX methodology for Google (VXGOG) at 27.20, compared to its 50-day moving average of 23.04 cboe.com/VXGOG
VIX methodology for Apple (VXAPL) at 36.35 compared to its 50-day moving average of 28.98 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 42; compared to its 50-day moving average of 52.10, WTI Crude oil near $56. CBOE.com/OVX
Equities options volume @ CBOE 1,190,104 calls, 877,867 puts, 2,067,971 total cboe.com
Options expected to be active @ CBOE: TSLA HAL FXI MS CHKP HAS HOG CMG
CBOE S&P 500 Skew Index (SKEW) at 122.24. 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 @ 674.25 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1109.10, compared to its 10-day moving average of 1111.87. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 270.49, compared to its 50-day moving average of 268.73. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.03, compared to its 50-day moving average of 15.98.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.91, compared to its 50-day moving average of 13.31. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 30.12, compared to its 50-day moving average of 36.77.
iPath S&P 500 VIX Short-Term Futures (VXX) at 21.87, compared its 50-day moving average of 26.99.
CBOE Volatility Index (VIX) at 13.89, compared to its 50-day moving average of 14.77 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 1.30 to $209.25 as China’s central bank implemented a larger than expected cut to the reserve requirement ratio for the country’s banks.
Calls with increasing volume at CBOE:
SPY 4/17/2015 208 34K contracts
AAPL 4/17/2015 125 23K
EEM 5/15/2015 42.50 21K
COP 4/17/2015 67.50 19K