Overseas markets rallying overnight (European and Asian shares up 1% to 2%), helping US stock futures add to yesterdays gains. Options activity brisk yesterday, as CBOE trades 6.7 million of 20.8mm contracts. SPX with 1.49mm and VIX with 975K led the way. Oil and Ruble up slightly this morning. Volatility as an asset class:
Oracle (ORCL) is up $2.11 to $43.27 in the premarket on Q1 revenue increasing +3.5% compared to year ago on strong cloud growth. December call option implied volatility is at 63, January is at 28, February is at 23; compared to its 26-week average of 21.
Accenture (ACN) is higher by $2 to $87.30 on better than expected Q1 results and strong Q2 net revenue $7.25B-$7.5B, consensus $7.46B. December call option implied volatility is at 60, January is at 29, February is at 20; compared to its 26-week average of 20.
Amgen (AMGN) is up $1.88 to $165.36 in the premarket after raising its Q1 dividend 30% to 79c per share. Overall option implied volatility of 27 is above its 26-week average of 24.
Options expected to be active at CBOE: ORCL AKS JBL AMGN RSX
CBOE S&P 500 PutWrite Index (PUT) at 1420.86; 50-day moving average is 1432.90 www.cboe.com/PUT
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.85, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 56.75, compared to its 50-day moving average of 35.03, WTI Crude oil trades $58. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 125.48, compares to its 50-day moving average of 128.56. 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 BuyWrite Index (BXM) at 1049.79 compared to its 10-day moving average of 1055.08 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 257.11 compared to its 50-day moving average of 260.77 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 20.86; compared to its 50-day moving average of 17.80.
CBOE 3-Month Volatility Index (VXV) at 20.43, compared to its 50-day moving average of 17.66 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 18.05, compared to its 10-day moving average of 18.43 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 42.14; compared to its 50-day moving average of 41.83.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.36 to 29.75.
CBOE Volatility Index (VIX) at 19.44, compared to its 50-day moving average of 16.12. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 2.69 to $204.48 following a vote of confidence from the Fed on Wednesday that the U.S. economy was on track.
Calls with increasing volume at CBOE:
IWM 12/20/2014 115 31K contracts
SPY 12/20/2014 201 20K
EEM 1/9/2015 40.50 19K
F 12/20/2014 14.50 12K
AAPL 12/20/2014 110 10K