Blogging Options: CBOE Morning Update 4.30.15

Futures soft.  XOM beats on top & bottom line.  Bidu misses.  Some European traders edgy with Russia dropping rates 1.5%, German bonds falling and Greece needing to find pension money in next 36 hours.  March Personal Income flat (+ 0.2% Feb), Spending up 0.4%.  AAPL watch with possible problems trading lower by $0.50.  Volatility as an asset class:

Salesforce.com (CRM) is active but off fractionally near $74.45 in the preopen on reports of a possible takeover. May call option implied volatility is at 66, June is at 50; compared to its 26-week average of 33.

Yelp (YELP) is down $9.12 to $42.16 in the preopen on weaker than expected Q1 results. May weekly call option implied volatility is at 143, May is at 71, June is at 55, August is at 48; compared to its 26-week average of 49.

Glu Mobile (GLUU) is up $1.24 to $6.64 in the preopen after the maker of free-to-play games reported Q1 results and deals with Tencent and Britney Spears. Overall option implied volatility of 67 compares to its 26-week average of 68.

CBOE Crude Oil Volatility Index (OVX) at 36.68; compared to its 50-day moving average of 48.86, WTI Crude oil near $59. CBOE.com/OVX

Equities options volume @ CBOE 1,067,503 calls, 733,279 puts, 1,800,782 total cboe.com

Options expected to be active @ CBOE: CRM ORCL YELP TWC MAR XOM TEVA XOM VIX

CBOE S&P 500 Skew Index (SKEW) at 125.36. 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 @ 679.45 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1118.56, compared to its 10-day moving average of 1116.88. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 274.90, compared to its 50-day moving average of 269.83 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.47, compared to its 50-day moving average of 15.59.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.26, 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 28.70, compared to its 50-day moving average of 34.28

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.57, compared its 50-day moving average of 25.19.

CBOE Volatility Index (VIX) at 13.39, compared to its 50-day moving average of 14.18 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.57 to $210 as U.S. oil trades at five-month high and the dollar weakens.

Calls with increasing volume at CBOE:

BAC  5/1/2015   16 16K contracts
C     6/19/2015   55 15K
SPY   5/1/2015 212 15K
AAPL 5/1/2015 130 15K

Puts with increasing volume at CBOE:

SPY     5/1/2015 210 15K contracts
USO  5/15/2015  17 10K
HYG  6/19/2015  86 10K
BEL 12/18/2015  10   9K