Blogging Options: CBOE Morning Update 4.22.15

KO and BA Q1 earnings beat estimates but BA revenues with a small miss.  Busy week for earnings, McDonalds expected later this morning with revenues, earnings and same-store-sales looking to be down.  European shares mostly lower on continued Greek uncertainty. 10-year yield falls below 1.91%. Traders in Chicago bleary-eyed as BlackHawks won a Stanley Cup Playoff game in triple-overtime – 1:30amish.  Oh, and it snowed on the way in this morning, Happy Spring.  Volatility as an asset class:

Chipotle (CMG) is down $35.54 to $656.98 in the preopen after a pork shortage and harsh weather in parts of the country reduced comparable store sales. Comparable-store sales only rose 10.4% in Q1 vs. 11.6% expected and 16.1% in Q4.  April weekly call option implied volatility is at 97, May is at 40, June is at 29; compared to its 26-week average of 28.

Yahoo (YHOO) is up $0.61 to $45.10 after Q1 results miss expectations. April weekly call option implied volatility is at 39, May is at 31, June is at 28; compared to its 26-week average of 33.

VMware (VMW) is up $1.60 to $87 in the preopen as the virtualization storage company reported Q1 sales rose 11%. April weekly call option implied volatility is at 76, May is at 42, June is at 28, October is at 25; compared to its 26-week average of 31.

VIX methodology for Google (VXGOG) at 26.64, compared to its 50-day moving average of 23.26 cboe.com/VXGOG

VIX methodology for Apple (VXAPL) at 33.06 compared to its 50-day moving average of 29.17 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 41.04; compared to its 50-day moving average of 51.28, WTI Crude oil near $56. CBOE.com/OVX

Equities options volume @ CBOE 791,276 calls, 505,138 puts, 1,296,414 total cboe.com

Options expected to be active @ CBOE: PBR FB AMGN YUM CREE BP YHOO YUM VMW

CBOE S&P 500 Skew Index (SKEW) at 122.77. 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 @ 677.40 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1114.32, compared to its 10-day moving average of 1114.31. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 271.78, compared to its 50-day moving average of 269.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.93, compared to its 50-day moving average of 15.84.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.58, compared to its 50-day moving average of 13.21. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.12, compared to its 50-day moving average of 36.11.

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.71, compared its 50-day moving average of 26.47.

CBOE Volatility Index (VIX) at 13.25, compared to its 50-day moving average of 14.62 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.22 to $209.38 as the Nikkei rallied past the key 20,000 level on new data showing a Japanese trade surplus in March, first time in nearly three years.

Calls with increasing volume at CBOE:

SPY    4/24/2015   212 7K contracts
AAPL  4/24/2015  127 7K
QQQ  4/24/2015  108 6K
MRVL 6/19/2015    16 5K
RMBS 6/19/2015    15 4K
SYY     5/15/2015    39 4K