Blogging Options: CBOE Morning Update 4.29.15

Q1 GDP showed a fractional gain of 0.2%, off from Q4 2014 2.2% gain and consensus estimate of 1.1% growth.  Weather, Dollar, dock strike – bulls coming forward with multiple excuses.  This on day FED will speak after noon.  Asian shares lower, Europe off as well (DAX down 1.3%). Oil off, Gold higher.  TWTR  with premature release of earnings off 2%.  LL says Justice Dept looking into its wood products, lower by 16%,  Sloppy opening. Volatility as an asset class:

GoPro (GPRO) is up $5.74 to $52.82 in the preopen on better than expected Q1 results and revenue outlook. May weekly call option implied volatility is at 118, May is at 69, June is at 62, July is at 49; compared to its 26-week average of 56.

Buffalo Wild Wings (BWLD) is down $18.70 to $165 on less than expected Q1 earnings hurt by higher wing costs. BWLD is keeping 2015 net earnings growth target at 18%. May call option implied volatility is at 49, June is at 31, September is at 29; compared to its 26-week average of 33.

Wynn Resorts (WYNN) is recently down $14.47 to $116 in the preopen on disappointing Q1 results and lowering its dividend. May weekly call option implied volatility is at 55, May is at 38, June is at 36, September is at 32; compared to its 26-week average of 32.

CBOE Interest Rate 5 Year Note (FVX) at 13.80 into Wednesday’s FOMC policy meeting decision

CBOE Crude Oil Volatility Index (OVX) at 37.31; compared to its 50-day moving average of 49.25, WTI Crude oil near $56. CBOE.com/OVX

Equities options volume @ CBOE 1,121,640 714,654 1,836,294 total cboe.com

Options expected to be active @ CBOE: TWTR WYNN GPRO BWLD AKAM WDC PNRA CRUS

CBOE S&P 500 Skew Index (SKEW) at 124.02. 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 @ 681.35 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1119.76, compared to its 10-day moving average of 1117.02. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 273.40, compared to its 50-day moving average of 269.70 cboe.com/micro/bxd/

CBOE Nasdaq-100 Volatility Index (VXN) at 14.88, compared to its 50-day moving average of 15.60.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.87, compared to its 50-day moving average of 12.99. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 28.01, compared to its 50-day moving average of 34.55

iPath S&P 500 VIX Short-Term Futures (VXX) at 20.85, compared its 50-day moving average of 25.37.

CBOE Volatility Index (VIX) at 12.41, compared to its 50-day moving average of 14.23 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 30c to $211.14 into the Fed’s FOMC policy meeting decision.

Calls with increasing volume at CBOE:

YPF 1/15/2016 40 30K contracts
AAPL 5/1/2015 133 18K

Puts with increasing volume at CBOE:

SPY 5/1/2015 210 27K contracts
AAPL 5/1/2015 130 16K
FXE 5/1/2015 106 10K
EIGI 5/15/2015 15 10K