Blogging Options: CBOE Morning Update 4.28.15

Earnings in full swing this morning, led by Big Pharma’s.  PFE beat but guided lower, while MRK and BMY were up slightly in the pre-market.  European shares getting whacked (lower by more than 1%) and UK economy slowing at a bad time – two weeks before an election.  Case-Shiller reports Home Prices rising, as expected.  FED Minutes tomorrow. Volatility as an asset class:

Apple (AAPL) is up $1.35 to $131.63 in the preopen on Q2 revenue growth grew at a run-rate of 33% ex-currency and was iPhone strength in China. May weekly call option implied volatility is at 65, May is at 39, June is at 28; compared to its 26-week average of 26.

Corning (GLW) is higher by $0.12 to $22.50 after reporting better than expected Q1 results and outlook.  May weekly call option implied volatility is at 59, May is at 36, July is at 23, August is at 24; compared to its 26-week average of 27.

Ford (F) is down $0.03 to $15.88 in the preopen on reconfirming 2015 pre-tax profit guidance of $8.5B-$9.5B.  May weekly call option implied volatility is at 35, May is at 21, July is at 17, August is at 18; compared to its 26-week average of 25.

CBOE Interest Rate 5 Year Note (FVX) at 13.42 into Wednesday’s FOMC policy meeting decision

CBOE Crude Oil Volatility Index (OVX) at 37.46; compared to its 50-day moving average of 49.62, WTI Crude oil near $56. CBOE.com/OVX

Equities options volume @ CBOE 1,047,466 685,131 1,732,597 total cboe.com

Options expected to be active @ CBOE: AAPL TWTR WYNN GPRO COH F BP MRK UPS BWLD AKAM CRUS BMY GLW F PFE

CBOE S&P 500 Skew Index (SKEW) at 122.84. 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 @ 680.15 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1118.07, compared to its 10-day moving average of 1099.51. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 272.70, compared to its 50-day moving average of 269.56 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.18, compared to its 50-day moving average of 15.61.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.72, compared to its 50-day moving average of 12.98. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.06, compared to its 50-day moving average of 34.82

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.74, compared its 50-day moving average of 25.59.

CBOE Volatility Index (VIX) at 13.12, compared to its 50-day moving average of 14.27 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 55c to $210.12 as investor watch the day’s economic reports including the Case/Shiller home prices report and the beginning of the Fed’s two day FOMC meeting.

Calls with increasing volume at CBOE:

AAPL 5/15/2015  130 13K contracts
SPY    6/30/2015  221 12K

Puts with increasing volume at CBOE:

SPY    5/1/2015   210 21K contracts
AAPL  5/1/2015  125 9K
IWM 6/19/2015 124 8K
HP    5/15/2015   65 8K
VXX  5/15/2015   21 7K
EEM 5/15/2015  42.50 7K