GDP for Q4 reduced from 2.6% to 2.2%. Slightly lowered revision had been expected, but compared to Q3 Final GDP at 5% not that encouraging. Chicago PMI after the opening and a few other indicators later in the morning. Oil at $49, 10-year at 2%. Extended Trading Hours (ETH) start Monday March 2nd for VIX, and Monday March 9th for SPX. To read a blog from a few weeks ago about ETH, click on the following: http://www.cboeoptionshub.com/2015/02/06/extended-trading-hours-planned-spx-vix-options/ Volatility as an asset class:
Monster Beverage (MNST) is up $12.26 to $137 in the preopen after reporting strong Q4 results and expanding its partnership with Coca-Cola (KO). March weekly call option implied volatility is at 52, March is at 39, June is at 29; compared its 26-week average of 35.
Gap (GPS) is up $1.09 to $41.49 after reporting better than expected Q4 and comparable store sales rising 2%. March weekly call option implied volatility is at 49, March is at 33, April is at 27; compared to its 26-week average of 26.
Splunk (SPLK) is up $4.94 to $74.50 in the premarket after the provider of software for real-time operational intelligence reported better than expected Q4 results and raised its sales outlook. February weekly call option implied volatility is at 179, March is at 64, June is at 53; compared its 26-week average of 35.
VIX methodology for Apple (VXAPL) at 28.70 into $AAPL special event on March 9th cboe.com/VXAPL
Equity Options Volume @ CBOE; 1,139,947 calls, 744,545 puts, 1,884,492 total cboe.com
CBOE Crude Oil Volatility Index (OVX) at 56.46 compared to its 50-day moving average of 56.03 WTI Crude oil @ $49. CBOE.com/OVX
Options expected to be active @ CBOE: HLF JCP MNST GPS SPLK CROX MDRX WTW
CBOE EuroCurrency Volatility Index (EVZ) at 10.19, compared to its 10-day moving average of 11.16.
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.29 www.cboe.com/vxtyn
CBOE S&P 500 Skew Index (SKEW) at 126.20 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 @ 684.35: www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1094.27, compared to its 50-day moving average of 1076.54 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 268.82, compared to its 50-day moving average of 263.80. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.33, compared to its 50-day moving average of 18.37
CBOE 3-Month Volatility Index (VXV) at 16.85, compared to its 50-day moving average of 19.35. cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.38, compared to its 50-day moving average of 16.20. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 37.58, compared to 50-day moving average of 43.16.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 3c to 27.81
CBOE Volatility Index (VIX) at 13.91, compared to its 50-day moving average of 17.53 cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 1.21 cboe.com
SPDR S&P 500 ETF Trust (SPY) is down 21c to $211.17 as U.S. Treasury prices move lower.
Calls with increasing volume at CBOE:
AAPL 2/27/2015 130 25K contracts
SPY 2/27/2015 212 18K
DXJ 3/27/2015 56 12K
PFE 3/20/2015 30 11K
Puts with increasing volume at CBOE:
HAL 2/27/2015 43 25K contracts
SPY 3/31/2015 200 16K
ANF 3/13/2015 18 13K
AAPL 2/27/2015 128 13K
IWM 3/20/2015 122 10K