Earnings and the Comcast non-deal seem to be the focus this morning. Futures mixed. Durable Goods beat but it’s all related to Aircraft orders. Core Rate -0.2% (+0.3% consensus expectation). Biogen is off over $20 on disappointing sales of a new drug. AAL up on earnings beat but gave a warning on upcoming currency translations. Volatility as an asset class:
Amazon.com (AMZN) is up $43.51 to $432.77 in the premarket after reporting better than expected Q1 results and cloud growth. April weekly call option implied volatility is at 163, May is at 50, June is at 37, July is at 34; compared to its 26-week average of 33
VIX methodology for Amazon (VXAZN) at 41.55 compared to its 50-day moving average of 31.05 cboe.com/VXAZN
Google (GOOG) is up $18 to $565 as Q1 revenue growth was hurt by the rising dollar. April weekly call option implied volatility is at 95, May is at 29, June is at 22; compared to its 26-week average of 24.
VIX methodology for Google (VXGOG) at 27.15, compared to its 50-day moving average of 23.54 cboe.com/VXGOG
(Editors Note: Did you watch the Weekly Weeklys segment yesterday on CBOETV, also posted here? Angie Miles talked about traders expecting a 4% move in GOOG and a 6.4% move in AMZN after the earnings announcement this morning. Just sayin…).
Starbucks (SBUX) is up $1.95 to $51.38 in the premarket on better than expected revenue on strong traffic increases. April weekly call option implied volatility is at 63, May is at 26, June is at 22, July is at 20; compared to its 26-week average of 23.
VIX methodology for Apple (VXAPL) at 32.16 compared to its 50-day moving average of 29.39 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 37.97; compared to its 50-day moving average of 50.52, WTI Crude oil near $57. CBOE.com/OVX
Equities options volume @ CBOE 1,052,971 calls, 691,952 puts, 1,744,923 total cboe.com
Options expected to be active @ CBOE: AMZN GOOG GOOGL SBUX MSFT TYC P BIIB JNPR
CBOE S&P 500 Skew Index (SKEW) at 123.26. 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 @ 681.15 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1117.70, compared to its 10-day moving average of 1114.30. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 272.60, compared to its 50-day moving average of 269.29 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.22, compared to its 50-day moving average of 15.69.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.84, compared to its 50-day moving average of 13.05. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 28.45, compared to its 50-day moving average of 35.43.
iPath S&P 500 VIX Short-Term Futures (VXX) at 20.95, compared its 50-day moving average of 25.97.
CBOE Volatility Index (VIX) at 12.48, compared to its 50-day moving average of 14.41 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 24c to $211.40 global equities trade near new all-time highs on positive corporate results.
Calls with increasing volume at CBOE:
AAPL 4/24/2015 130 22K contracts
SPY 4/24/2015 212 20K
Puts with increasing volume at CBOE:
SPY 9/18/2015 165 54K contracts
TWC 7/17/2015 145 9K