CBOE to Develop New Index Options Products Based on FTSE and Russell Indices

Over the past dozen years, the aggregate total trading volume for options on the Russell 2000® (RUT) Index is more than 190 million contracts. In 2014 the average daily notional value of trading in Russell 2000 options was more than $10 billion.

Building on the success of the Russell 2000 options, CBOE Holdings, Inc. announced today that it has entered into a licensing agreement with London Stock Exchange Group (LSEG), to develop and list options based on more than two dozen FTSE and Russell indices. Under the agreement, cash-settled options on these indices will now be available to trade in the United States on the Chicago Board Options Exchange (CBOE). In addition, as part of the agreement, CBOE and LSEG will collaborate on new index options products and investor education globally.

TOOLS FOR PORTFOLIO MANAGEMENT

Options on FTSE and Russell indices provide investors with tools to efficiently gain exposure to the U.S. and global equity markets, and to execute strategies for –

OPTIONS ON KEY STOCK INDEXES

LSEG’s leading global index franchises, FTSE and Russell indices, represent a diverse group of domestic and global equities with international appeal: the Russell indices include widely followed benchmarks of U.S.-based stocks while the FTSE indices focus primarily on global and emerging equity benchmarks that are widely used in U.S. market.

The deal announced today includes the bellwether FTSE and Russell indices: the FTSE GEIS (Global Equity Index Series), which covers 98 percent of the world’s investable market capitalization; FTSE EPRA/NAREIT; FTSE China 50; the Russell 2000® Index, which measures performance of the small-cap segment of the U.S. equity market; the  Russell 1000® Index, which comprises a broad large-cap equity segment; the Russell 1000® Value Index, which measures the large-cap equities with lower price-to-book ratios and expected growth values; and the Russell 1000® Growth Index, which measures large-cap stocks with higher price-to-book ratios and anticipated growth.

Three key indices – the Russell 2000, Russell 1000 and the FTSE-100, all recently hit record high values.  Two days ago there was strong media coverage of the fact that the FTSE-100 Index hit its first daily closing high in 15 years. I find it interesting to compare the three price charts below over similar time periods, and to note that in 1998 (during the tech boom) the large-cap Russell 1000 shot up 25.1% but that the Russell 2000 fell by 3.4%

mm1mm2mm3CBOE RUSSELL 2000 BUYWRITE INDEX (BXR)

The CBOE Russell 2000 BuyWrite IndexSM (BXRSM) is a benchmark index that measures the performance of a theoretical portfolio that sells Russell 2000 Index (RUT) call options, against a portfolio of the stocks included in the Russell 2000 Index. The average of the monthly gross premiums received by the BXR Index since June 2006 is 2.4% per month. Buy-writes can appeal to income-oriented investors in times of low interest rates and high p/e ratios. The BXR Index has had lower standard deviations than the RUT Index over the past decade. A January 2015 study  Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs provides a list of dozens of funds that are using the buywrite strategy. For more information on the BXR Index, please visit www.cboe.com/BXR.

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Tools to Help Manage Russell 2000 Portfolios: (1) RUT Index Options; (2) BXR BuyWrite Index, and (3) RVX Vol Futures and Options

The Russell 2000® Index (RUT) hit an all-time record daily closing high of 1223.98 on February 24. Some investors still are bullish on the prospects for small-cap stocks and the U.S. economy, particularly in light of low energy prices.Bl-1-RUT price chart

Other investors have expressed concern about these points – (1) For the past year the price-to-earnings ratio for the Russell 2000 Index has been slightly higher than its 10-year average of 16.3 (source: Small Cap Perspectives by Russell Indexes (Dec. 2014));  (2)  An online posting provided this headline – “History Favors Small-Cap Stocks Over Large-Cap in December-February” and quoted the head of technical analysis at Oppenheimer in regard to seasonality of returns for small-cap stocks, (3) Traditional fixed income instruments have low yields, and the dividend yield on the Russell 2000 is 1.35%, and (4) As shown in the chart above, indexes related to small-cap stocks, Treasury bonds and commodities all have experienced significant drawdown periods since 1986. In light of these points, some investors are asking –

  • How can I efficiently lock in some of the gains I have made and protect myself from big drawdowns on my small-cap and fixed income portfolios?
  • Can I enhance the yield for my small-cap portfolio in order to provide income and smoother returns?

In the rest of this Blog I will highlight three tools that can be helpful in exploring ways to manage small-cap exposure — (1) Options on the Russell 2000 Index (RUT) ; (2) CBOE Russell 2000 BuyWrite Index (BXR), and (3) Futures and options on the CBOE Russell 2000 Volatility Index (RVX).

1) OPTIONS ON THE RUSSELL 2000 INDEX (RUT)

Here is a table with a comparison of Russell 2000 Options – TableFeatures of RUT options that could appeal to investors include –

  • Large Contract Size. RUT options have a large notional size with $100 multiplier; approximately ten times larger than iShares Russell 2000 Index Fund (IWM) This may permit commissions cost savings based upon the number of contracts needed to attain the same notional exposure.
  • Cash Settlement and European-style Exercise. With European-style exercise, there is no risk of early assignment such as for dividends; and cash settlement means there is no unwanted delivery or assignment of

Options on FTSE and Russell Indexes provide investors with tools to efficiently gain exposure to the U.S. and global equity markets, and to execute strategies for –

  • risk management and hedging (e.g., with index options collars),
  • asset allocation,
  • income generation (e.g., with buywrites and cash-secured index puts), and
  • expressing one’s view on the markets.

In formulating an options strategy, please keep in mind key factors such as the term structure and the volatility skew.  The volatility skew chart below shows estimates for 30-day implied volatilities at various option moneyness on February 24; the estimated implied volatility for RUT options was 12.1 at 105% moneyness, and 34.1 at 80% moneyness. One could infer from the chart that there could be strong demand for downside protection with out-of-the-money put options on RUT.

FB-2-Vol SkewPlease visit www.cboe.com/RUT, and the Options Education and Options Strategies web pages to learn more how cash-settled index and volatility options can help you manage your portfolio. More

CBOE Mid-Day Update 2.25.15

Volatility as an asset class

Target (TGT) is recently up 25c to $77.21 after posting better than expected adjusted earnings per share and reported comparable sales increased 3.8% in its Q4. March call option implied volatility is at 24, April is at 17, July is at 19; compared to its 26-week average of 20.

TJX (TJX) is recently is recently up $2.51 to $69.65 after reaffirming 10%-13% long-term annual EPS growth model. March, April and July call option implied volatility of 17 compares to its 26-week average of 22.

Lumber Liquidators (LL) is recently down $11.86 to $56.92 after reporting Q4 earnings per share and revenue that missed consensus expectations, warning on associated call that an upcoming “60 Minutes” piece may cast the company in an unfavorable light, and disclosing in its annual report this morning that the Department of Justice indicated in recent communications that it is contemplating seeking criminal charges under the Lacey Act. March call option implied volatility is at 77, March is at 57, May is at 66; compared to its 26-week average of 52.

Active options at CBOE: AAPL HPQ PBR TSLA AMZN TWTR FSLR CBI NFLX

Options with increasing volume @ CBOE: WBAI HDS ICON NWBO RGR GFI RKT TJX RSG

CBOE Volatility Index (VIX) down 2.8% to 13.31, high 13.71, low 12.86, March 23 calls and 16 puts are active on total volume of 192K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 75c to 27.22

S&P 100 Options (OEX) recently is up 14c to 939.36 on U.S., new home sales slipped 0.2% to a 481K annual pace in January, which was better than the expected 2.3% decline to

Combining CBOE and MSCI Gives Investors the World

In a few weeks CBOE will begin listing options on two of the widely followed MSCI Indexes. This addition of cash settled index options on the MSCI EAFE and MSCI Emerging Market Indexes will result in investors being able to gain exposure to just about every investible market in the world by trading at CBOE. After such a bold statement, an explanation is definitely in order.

Before discussing the world I’ll address the United States. On a notional basis the S&P 500 (SPX) Index option market is the most actively traded option market in the United States. The fastest growing index option market in the US for 2014 was the Russell 2000 (RUT) Index option market. Both these index option markets trade at CBOE with SPX basically representing large cap stock performance and RUT considered a measure of small cap stock performance. Another approach that investors take when comparing these two indexes is that SPX stocks are US based multinational companies and RUT represents performance of stocks that are doing a large portion of their business within the United States. When you combine the S&P 500 and Russell 2000 the result is exposure to two domestic market sectors – large cap and small cap which defines a large number of money managers.

The EAFE in MSCI EAFE stands for Europe, Australasia, and Far East. An easier way to remember what you get with EAFE is that the index measures the performance of developed markets excluding those in North America. There are currently 21 countries and 909 companies included in the MSCI EAFE Index. The market capitalization of these 909 companies represents about 85% of the free float capitalization of the markets covered by the index.

Finally, the MSCI Emerging Markets Index is exactly what you would think. An index that measures the combined performance of the performance of emerging market companies. Needless to say, this index includes Brazil, China, and India along with 20 other countries. There are 836 companies in the MSCI Emerging Markets index which, like the EAFE, results in about 85% of the market capitalization of these 23 countries being represented by the index performance.

I know that saying the combination of MSCI and CBOE will give you the world may be a bit over the top, but for macro managers the addition of index options on these two MSCI Indexes is going to make asset allocation much easier. Consider that with SPX and RUT options a domestic US manager can easily shift exposure between large and small cap stocks. When MSCI options begin trading portfolio managers with a global focus will be able to easily increase or decrease exposure between developed and emerging markets through options listed at CBOE.

As the launch of MSCI approaches I will continue to learn more and share more about the MSCI Indexes with my plan being a blog every Wednesday. In the mean time you can always visit www.msci.com to learn more about all the indexes calculated and disseminated by our friends at MSCI.

Finally, in this space last week I commented on how it appears options on both the MSCI EAFE and MSCI Emerging Market Indexes may trade based on volatility indexes currently calculated at CBOE –

http://www.cboeoptionshub.com/2015/02/18/anticipating-msci-eafe-index-option-price-behavior/

 

Blogging Options: CBOE Morning Update 2.25.15

Good day for stocks yesterday as Chairperson Yellen gave calming testimony at semi-annual Humphrey Hawkins visit to Capitol Hill. She visits the House this morning for Day Two.  TGT beat estimates, rises $0.90, LOW does the same and rises $1.65.   Case Shiller Home prices rose less than expected.  President is said to have vetoed Keystone Pipeline, should have no effect on stocks.  European shares retreat, Gold & Oil higher, 10-Year yield below 2%.  Derrick Rose and Patrick Kane out indefinitely, bad day for sports fans in Chicago.  Volatility as an asset class

HP (HPQ) is down $2.55 to $35.94 in the preopen after reporting flat or lower Q1 revenue at all its operating units.  February weekly call option implied volatility is at 69, March is 35, April is at 29, August is at 27; compared to its 26-week average of 27.

Chicago Bridge & Iron (CBI) is up $1.27 to $42.99 on 2015 guidance cut was less than feared while management offered solid guidance despite the recent oil and gas spending concerns.  February weekly call option implied volatility is at 79, March is at 45, April is at 42, July is at 38; compared to its 26-week average of 44.

Chesapeake (CHK) is down 63c to $19.25 in the preopen on less than expected Q4 results and lower 2015 production growth rates. February weekly call option implied volatility is at 62, March is at 43, April is at 42, July is at 39; compared to its 26-week average of 39.

VIX methodology for Apple (VXAPL) at 26.27, compared to its 50-day moving average of 31.95. cboe.com/VXAPL

Equity Options Volume @ CBOE; 1,053,088 calls, 599,174 puts, 1,652,262 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 56.27 compared to its 50-day moving average of 55.69 WTI Crude oil @ $49. CBOE.com/OVX

Options expected to be active @ CBOE: HPQ LOW TGT CBI SAM JCP TJX

CBOE EuroCurrency Volatility Index (EVZ) at 10.29, compared to its 10-day moving average of 11.27.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.42 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 136.25 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 @ 685.65: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1094.13, compared to its 50-day moving average of 1074.81 cboe.com/bxm

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Block Trade Analysis – Russell 2000 Iron Condor

Checking in on trading activity in my favorite index, the Russell 2000, I came across a fairly interesting trade using short dated options from around 11:00 Monday morning. I say around 11:00 because the trader legged into an Iron Condor. A couple of minutes before 11:00 200 of the RUT Mar 6th 1180 Puts were sold at 2.75 with 200 of the RUT Mar 6th 1160 Puts purchased for 1.47 which comes to a net credit of 1.28. At the time of this execution the Russell 2000 was at 1224.52 so it appears the trader has a neutral to bullish outlook for small cap stocks. Well, not so fast…

Four minutes later another 200 lot trade came into the RUT market with a sale of the RUT Mar 6th 1260 Calls at 1.05 and a purchase of the Mar 6th 1280 Calls at 0.30 for net credit of 0.75. I can understand (but usually do not condone) legging into an Iron Condor, but found this interesting since only four minutes went by and the Russell 2000 was only 0.23 higher at 1224.75 when the second trade was executed. I never criticize how other people approach trading, but I’m scratching my head on the method behind this execution.

Regardless of how they got into the trade, some trader has on the RUT Mar 6th 1160 – 1180 – 1260 – 1280 Iron Condor for a net credit of 2.03. The payoff upon next week’s Friday RUT AM settlement is displayed in the diagram below –

RUT PO

The reward here is 2.03 as long as the Russell 2000 settlement comes in between 1180 and 1260 at March 6th  settlement.   A move over 1280 or under 1160 is a worst case scenario with the resulting loss of 17.97.

To give a bit more color to this neutral RUT trade I put together a year to date daily chart of the Russell 2000 along with the chart projected out until March 6th. The break even and max loss levels are highlighted on the price chart along with the percent change to each level based on the Russell 2000 at 1224.

RUT Chart

Basically this trade works out perfectly (if held through March 6th settlement) as long as the Russell 2000 is not 2.9% higher or 3.6% lower. The worst case scenario is a bull run of 4.5% or a drop of 5.2%.  We’ll check in on March 6th and see how things worked out for this fairly wide RUT Iron Condor.

CBOE Mid-Day Update 2.24.15

Volatility as an asset class

Macy’s (M) is recently down $2.34 to $61.93 after inline Q4 results and giving a cautious 2015 outlook. March call option implied volatility is at 21, April is at 20, May is at 21, August is at 20; compared to its 26-week average of 25.

SunPower (SPWR) is recently up $4.78 to $32.58, and First Solar (FSLR) is up $6.89 to $56.50, after companies announced that they are in advanced talks to form a joint YieldCo vehicle. SPWR March and April call option implied volatility is at 44; compared to its 26-week average of 46.
First Solar (FSLR) February weekly call option implied volatility is at 101, March is at 63, April is at 56, and June is at 48; compared to its 26-week average of 45.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 79c to $43.47 on Federal Reserve Chair Janet Yellen’s remains “patient” comments. February weekly call option implied volatility is at 37, March weekly is at 36, March is at 33, April is at 30; compared to its 26-week average of 24.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 5.39% to 6.49 after Janet Yellen’s testimony cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.54% to 24.92.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL KO TSLA C HPQ HD TWTR FSLR RIG AXP

Options with increasing volume @ CBOE: CHGG LBTYK SMH RCAP NGLS OTEX TERP CNC ALKS AMT

CBOE Volatility Index (VIX) down 3% to 14.13, high 14.63, low 13.87, March 15, 16 and 17 puts are active on total volume of 137K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 79c to 28.36
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Options Trading Strategies: Lessen Volatility on your Portfolio

Random price movements leave us with very little edge when it comes to reading the charts and technical’s.  Nevermind fundamental analysis, which is simply impossible to explain a how stock can move violently after a news event.  The market is simply designed around accumulation and distribution, seen very clearly on a price and volume chart.  Yet, when these buyers and sellers are pulled in each direction by the market there is an uneasy feeling about participating.

The erratic behavior in price action shows up in the extreme volatility readings, the VIX indicator is over 20 and building momentum.  For the Dow Industrial’s, just about everyday was a triple digit move in January.  Stocks that deserved to go higher plummeted, and some stocks bolted higher unexpectedly.  This creates doubt in the minds of investors and traders.

During this time, the implied correlation index, or the $ICJ soared higher, as one would expect.  In addition, we saw increases in the skew index as the ‘smart money’ was buying heavily into out of the money puts, looking for some sort of enormous pullback.

There are a few options trading strategies to help dampen the volatility we have seen of late, especially in January.  Buying protection against long stocks is always a great way to hedge market risk.  Professional market players always have some protection on, this would be considered insurance against a downturn.  The expectation is this insurance goes down to a low value or even zero, a cost of protecting a long group of stocks that should exceed the losses of buying protection.  The insurance can be done via shorting indices, shorting futures or just buying straight market puts or spreads.

Some will say they prefer to buy volatility, but that requires a cash outlay and most really do not know what they are buying here, so if you want to protect a portfolio I would just suggest finding an index and buying these, especially if the VIX is lower and volatility pricing is cheap.

Selling premium against long stock, or covered call writing is an excellent way to immediately lock in some gains.  This is a simple exercise:  if you own 300 shares of Boeing stock, currently 158 a share, you would select a strike price out into the future and SELL 3 of those call options.  You keep the premium and hold the stock until expiration (or maybe called before if the stock is above the strike) and you get to sit and wait for the time to expire.

When you are in a winning position in a stock and implement a covered call strategy it is one of the best and highest probability wins.  I often see investors do this regularly with stocks creating their own additional dividend!  Think about this:  You own 500 shares of IBM stock, it’s 160.  Looking out toward April we see the 170 call selling at 1.63 (as of 2/20/15).  We can sell 5 of these calls, pocket $815 and wait for two months.  If the stock stays under 170 by April expiration then we keep the premium AND our stock.

So, we have made $815 for two months (not including any gains/losses in the stock which is an annualized return of approximately 6% (815 X 6, divided by total stock investment of 80K) not including commissions.  This is in addition to any appreciation of the stock or dividends paid out by the company!  Now, of course you can be called away, but only above 170 on the stock price.  Would you be disappointed with another 10 point gain on your 500 shares?

In summary, we have shown a couple of options trading strategies to protect a portfolio against some adverse moves, even violent ones.  There is no exact way to eliminate all market risk (can be close), but we can certainly dampen the volatility before a selling shower hits.

Bob Lang, Senior Market Strategist and trades various option trading newsletter Explosive Options. Check out the updated site.

Blogging Options: CBOE Morning Update 2.24.15

JPM said to close over 25% of its branches and cut additional costs.  It also said due to “new federal regulations” it will reduce “$100B of non-operating deposits”, expected by traders to be a NIRP. JPM shares up $1.30 on heavy volume.  HD beat, raised its dividend and stock buy-back and said same-store sales exceeded expectations, but warned about currency translations possibly costing $0.06 per share in 2015. US Stock Futures mixed. Ms. Yellen reads from script this afternoon. Volatility as an asset class:

Comcast (CMCSA) is down $0.10 to $58.11 in the preopen after reporting Q4 adjusted EPS 77c, compared to consensus 78c. The communications and entertainment company increased its dividend and share repurchases. February weekly call option implied volatility is at 31, March is at 26, April is at 23; compared to its 26-week average of 22.

Express Scripts (ESRX) is up $1.58 to $88.30 after the prescription-drug benefits manager reported Q4 profit rose 13%. February weekly call option implied volatility is at 45, March is at 25, May is at 20, July; compared to its 26-week average of 22.

Domino’s Pizza (DPZ) is off $1.25 to $103.25 in the preopen after reporting lighting Q4 EPS on better than expected revenue of $642M.  March call option implied volatility is at 36, April is at 27, June and September is at 24; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) at 26.67, below its 50-day moving average of 32.03. cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 58.67 compared to its 50-day moving average of 55.41 WTI Crude oil @ $49. CBOE.com/OVX

Options expected to be active @ CBOE: SPWR FSLR TSL JASO SUNE CSIQ SCTY BHP HD DDS M HPQ CBI TOL

CBOE EuroCurrency Volatility Index (EVZ) at 11.15, compared to its 10-day moving average of 12.20.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.86 www.cboe.com/vxtyn

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Pretty Clear Breakout Amid Valuation Challenges – Weekly Market Outlook

It wasn’t necessarily a huge gain for the market last week, but it was an important one. Most indices tiptoed into new-high (record high) territory on Tuesday, and after stalling for a couple of days then made a bold thrust into record high territory again on Friday. All told, last week’s close of 2110.3 for the S&P 500 (SPX) (SPY) translated into a 0.6% gain for the holiday-shortened week. Though valuation challenges are going to make it tough for stocks to continue rallying, from the technical perspective this is a pretty clear breakout. Just keep a close eye on it.

We’ll examine all the technical details below, but first, let’s dissect last week’s and this week’s upcoming economic numbers.

Economic Data

There was a fair amount of economic news posted last week, but perhaps none as important or as watched as the minutes from the January FOMC meeting. In short, not only did the Fed not raise interest rates, but based on the language used and the discussion between FOMC members, it may take even longer than even first presumed to start ratcheting rates upward.

We also heard last month’s housing starts and building permits data. Though starts fell from a pace of 1.087 million to 1.065 million while permits fell from 1.06 million to 1.053 million, a January lull can be normal, and unexpected inclement weather may have been a factor. Either way, both sets of data still remain in longer-term uptrends.

Housing Starts and Building Permits ChartPH 22215-starts-permits

Source: Thomson Reuters Eikon

Though it’s not quite is meaningful as the consumer inflation rate, January’s producer price inflation rate was once again a bit discouraging. On a month-to-month basis it fell 0.8% overall, and slipped 0.1% on a core basis. Perhaps more important, the annualized PPI rate has now barely slipped into negative territory… deflation. We won’t get January’s CPI data until later this week, but generally speaking, it mirrors the PPI data.

The ultra-strong U.S. dollar (UUP) is the bulk of the reason we’re dancing with deflation at this point in time.

Last but not least, we got last month’s industrial production and capacity utilization figures from the Federal Reserve on Wednesday. They were ok. Although capacity utilization slipped a little in January, both sets of data remain in bigger-picture uptrends.

Economic Calendar

PH 22215-econ-data

Source:  Briefing.com

The coming week is going to be just as busy, especially for real estate data. Existing home sales, the Case-Shiller index, new home sales, and the FHFA  housing price index are all in the lineup. All have been broadly positive of late, and are expected to remain reasonably strong for January.   Consumer inflation data for last month will be announced on Thursday; the pros are looking for more tepidness there.

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CBOE Mid-Day Update 2.23.15

Volatility as an asset class

Boeing (BA) is down $3.89 to $154.43 after Goldman cut its recommendation to Sell, with a $132 price target. February weekly call option implied volatility is at 23, March is at 18, April is at 17; compared to its 26-week average of 19.

Global X FTSE Greece 20 ETF (GREK) is down 30c to $13.81 after a Greek deal on bailout program. March call option implied volatility is at 77, April is at 73, June is at 64; compared to its 26-week average of 52.

National Bank of Greece (NBG) is down 3c to $1.92.  Overall option implied volatility of 122 compares to its 26-week average of 84 according to Track Data, suggesting large price movement following Greece’s provisional deal on its bailout program.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 0.72% to 6.93 cboe.com/VXTYN

VIX methodology for Google (VXGOG) up 5.5% to 20.10, compared to its 50-day moving average of 24, 90. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) up 1% to at 25.54, compared to its 50-day moving average of 37.01. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.12% to 25.97.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL AMAT TSLA TWTR C GILD RIG AMZN PBR

Options with increasing volume @ CBOE: ANGI NNN FIG WBAI CSC SLXP TXRH WLK SPPI DISCA

CBOE Volatility Index (VIX) up 5.9% to 14.89, high 15.48, low 14.79, March 15 and 17 puts are active on total volume of 17K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is up 10c to 29.15
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Blogging Options: CBOE Morning Update 2.23.15

Boeing off $3 on downgrade, Oil down ~$2 to $49, Gold lower by $4.  10-year yield off 4 ticks.  Baltic Dry with another new low.  Overseas markets mixed to fractionally higher.  Ms Yellen speaks Tues afternoon & Wed awaited by traders. 35th Anniversary of “Miracle on Ice” at 1980 Olympics.  #CBOERMC next week. Volatility as an asset class

Cooper Tire (CTB) is up $1.19 to $38.39 in the premarket on better than expected Q4 results and outlook.  March call option implied volatility is at 33, May is at 29, August is at 25; compared to its 26-week average of 28.

Apple (AAPL) is recently 26c to $129.76 in the premarket as shares trade near record high. Overall option implied volatility of 25 is at its 26-week average.

VIX methodology for Apple (VXAPL) at 25.15 cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 54, WTI Crude oil @ $49. CBOE.com/OVX

Equity Options Volume 1,303,587 calls, 720,993 puts, 2,024,580 total cboe.com

Options expected to be active @ CBOE:  LOW CRM HD M JCP SPWR

CBOE EuroCurrency Volatility Index (EVZ) at 11.60

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.93 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 125.24. 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.

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Earnings Next Week – 2/23 – 2/27

Apologies all around as I know the list is going up late…I promise to do better next week!

For those new to this – the numbers represent 3 years of earnings reaction histories.  Something option traders find very useful.  Max is the biggest up move, Min the biggest down move, Abs Avg is the average move without a directional bias for the last 3 years, and Last Q is what the stock did in reaction to earnings three months ago.

Earnings

The Week in VIX – 2/16 – 2/20

VIX was down some last week and the newly christened front month March future followed the index lower and then some. Despite the drop, the March future finished Friday at a pretty steep premium relative to the index which shows that despite the S&P 500 making new highs, the volatility market isn’t convinced 2015 will be a repeat of the past couple of years in the equity space.

VIX Curve

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