Blogging Options: CBOE Morning Update 4.21.15

Markets look to add to yesterdays gains and Q1 earnings reports continue to flood in.  Overseas markets mostly higher, traders watching events overseas as a Chinese-owned company defaulted overnight and EU and Greece rhetoric getting louder.  May Crude futures expire today.  TEVA, Mylan merger being heard again this morning, Mylan had made a bid for Perrigo last week  MSCI EEM, EAFE Index options launch at CBOE this morning.  Volatility as an asset class

IBM (IBM) is up $0.64 to $166.90 in the preopen after reporting Q1 sales fell 12%. April weekly call option implied volatility is at 46, May is at 25, June is at 22; compared to its 26-week average of 20.

Under Armour (UA) is down $3.06 to $84.70 on Q1 footwear sales increasing 41% and total international revenue increasing 74%. April weekly call option implied volatility is at 77, May is at 50, July is at 29, October is at 31; compared to its 26-week average of 30.

United Technologies (UTX) is up $1.49 to $118 in the preopen on backing FY15 EPS view of $6.85-$7.05, consensus $6.98 April weekly call option implied volatility is at 25, May is at 19, August is at 18; compared to its 26-week average of 18.

VIX methodology for Google (VXGOG) at 24.83, compared to its 50-day moving average of 23.13 cboe.com/VXGOG

VIX methodology for Apple (VXAPL) at 32.47 compared to its 50-day moving average of 29.08 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 42.06; compared to its 50-day moving average of 51.06, WTI Crude oil near $56. CBOE.com/OVX

Equities options volume @ CBOE 991,351 calls, 553,385 puts, 1,544,736 total cboe.com

Options expected to be active @ CBOE: IBM VZ UTX QCOM VMW 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 @ 678.30 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1114.90, compared to its 10-day moving average of 1112.91. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 272.26, compared to its 50-day moving average of 268.87.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.86, compared to its 50-day moving average of 15.91.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.62, compared to its 50-day moving average of 13.26. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29, compared to its 50-day moving average of 36.46.

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.26, compared its 50-day moving average of 26.72.

CBOE Volatility Index (VIX) at 13.30, compared to its 50-day moving average of 14.70 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.65 to $210.50 on better than expected corporate results and lower bond yields.

Calls with increasing volume at CBOE:

FXI   5/15/2015     56   20K contracts
SPY  4/24/2015 212.50 16K
PBR  7/17/2015    11   16K
QQQ 4/24/2015 107   13K
FXI    5/15/2015    53   10K
JNJ    6/19/2015   105    9K