Expiration Friday. March CPI up 0.2%, Core Rate also up 0.2%, mostly in line. Several factors pushing US Futures lower this morning. Problems with Greece and EU persist (European shares off 1.3%), China adjusting margins and allowed short selling in the majority of stocks and as some traders are aware, there have been problems with Bloomberg terminals around the world. A bond auction in England delayed due to this. More economic data in first hour of trading. Enjoy the weekend. Volatility as an asset class:
Schlumberger (SLB) is up $2.31 to $94.20 in the preopen after the oil equipment provider topped Q1 earnings projections, although revenue missed. April call option implied volatility is at 52, May is at 27, August is at 23, November at 22; compared to its 26-week average of 28.
Mattel (MAT) is higher by $1.63 to $26.90 after reporting Q1 adjusted EPS (8c), compared to consensus (9c) on better than expected revenue of $922M. April call option implied volatility is at 98, May is at 34, July is at 29; compared to its 26-week average of 29.
American Express (AXP) is down $1.79 to $79.12 in the preopen on the financial transaction company expecting FY15 EPS flat to modestly down into ending their relationship with Costco (COST) in the U.S. next year. April call option implied volatility is at 53, May is at 21, July is at 19; compared to its 26-week average of 21.
VIX methodology for Google (VXGOG) at 26.01, compared to its 50-day moving average of 22.93. cboe.com/VXGOG
VIX methodology for Apple (VXAPL) at 34.34 compared to its 50-day moving average of 28.82 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 43.48; compared to its 50-day moving average of 52.41, WTI Crude oil near $56. CBOE.com/OVX
Equities options volume @ CBOE 1,062,271 calls, 708,283 puts, 1,770,554 total cboe.com
Options expected to be active @ CBOE: GE HON YHOO AMD SLB AXP MAT
CBOE S&P 500 Skew Index (SKEW) at 120.37. 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 @ 679.90 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1120.08, compared to its 10-day moving average of 1094.96. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 274.45, compared to its 50-day moving average of 268.61. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.50, compared to its 50-day moving average of 16.04.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.74, compared to its 50-day moving average of 13.41. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 29.12, compared to its 50-day moving average of 37.09.
iPath S&P 500 VIX Short-Term Futures (VXX) at 22.21, compared its 50-day moving average of 27.21.
CBOE Volatility Index (VIX) at 12.60, compared to its 50-day moving average of 14.86 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 1.10 to $209.19 on renewed Greece concerns.
Calls with increasing volume at CBOE:
CHK 1/15/2016 30 50K contracts
SPY 7/17/2015 225 44K
USO 4/17/2015 20 16K
VXX 5/15/2015 28 12K
TEVA 5/29/2015 69 11K
BAC 5/15/2015 17 9K