Traders watching events overseas this morning. China is hinting at QE, while Japan is lowered one notch by a ratings agency. Apple earnings after the close, Q1 GDP before the opening Wednesday and FOM Minutes Wed PM. GDP forecast has been retreating as weather and California dock strike blamed, consensus down to ~1.1%. AMAT ( -$1.50 ) merger off, AXP & TWTR downgraded before the bell, both off fractionally, DB off 4% on restructuring. 40 degrees this morning in Chicago, we're ready for Spring any time. NFL & City begin blocking off streets near CBOE for NFL Draft beginning Thursday night. Volatility as an asset class:
Apple (AAPL) is up $1.60 to $131.88 in the preopen into the expected release of Q2 results today. May weekly call option implied volatility is at 50, May is at 35, June is at 28; compared to its 26-week average of 26.
VIX methodology for Apple (VXAPL) at 34.27 compared to its 50-day moving average of 29.55 cboe.com/VXAPL
GoPro (GPRO) is up $0.21 to $44.94 on the expected release of Q1 results April 28. May weekly call option implied volatility is at 90, May is 63, June is 54, July is at 50; compared to its 26-week average of 57.
CBOE Crude Oil Volatility Index (OVX) at 37.61; compared to its 50-day moving average of 50.04, WTI Crude oil near $57. CBOE.com/OVX
Equities options volume @ CBOE 1,155,044 calls, 696,136 puts, 1,851,180 total cboe.com
Options expected to be active @ CBOE: Options expected to be active @ CBOE: AAPL TSLA WYNN GPRO TWTR MRK BP BWLD AKAM CRUS
CBOE S&P 500 Skew Index (SKEW) at 119.95. 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 @ 682.50 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1119.44, compared to its 10-day moving average of 1115.97. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 272.91, compared to its 50-day moving average of 269.43 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.20, compared to its 50-day moving average of 15.62.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.86, 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 28.18, compared to its 50-day moving average of 35.09.
iPath S&P 500 VIX Short-Term Futures (VXX) at 20.81, compared its 50-day moving average of 25.76.
CBOE Volatility Index (VIX) at 12.29, compared to its 50-day moving average of 14.32 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 49c to $212.10 into another week of heavy earnings which includes Apple’s (AAPL) second quarter earnings results after the close of business today. Also on the docket this week is the two day FOMC meeting.
Calls with increasing volume at CBOE:
SLV 1/15/2016 17 40K contracts
AAPL 4/24/2015 130 27K
EWZ 5/15/2015 40 20K
PBR 1/20/2017 10 12K
QQQ 5/15/2015 111.50 11K
SPY 4/24/2015 211.50 10K