Earnings from major players hitting the tape (PG off $1.50, CAT up $3, GM misses on top and bottom line and is off $1) and more after the close. Chinese economic numbers (PMI) weak again but Asian shares slightly higher, Europe weak with DAX off 1.2%). Housing data 30 minutes into trading day. Volatility as an asset class
Facebook (FB) is down $1.13 to $83.51 in the premarket on higher user growth and engagement driving strong ad growth, somewhat offset by foreign exchange headwinds and soft payments/other fees. April weekly call option implied volatility is at 87, May is at 39, June 30, September is at 29; compared to its 26-week average of 30.
Las Vegas Sands (LVS) is down $1.65 to $54.74 after reporting Q1 adjusted EPS 66c, consensus 72c. Revenue was $3B, compared to consensus $3.2B. April weekly call option implied volatility is at 54, May is at 33, June is at 30, September is at 29; compared to its 26-week average of 32.
Petrobras (PBR) is down 33c to $8.60 in the premarket after writing down $2.1B in corruption-related charges during Q4. April weekly call option implied volatility is at 155, May weekly is at 87, May is at 71, June is at 64, July is at 56; compared to its 26-week average of 64.
VIX methodology for Google (VXGOG) at 26.70, compared to its 50-day moving average of 23.29 cboe.com/VXGOG
VIX methodology for Apple (VXAPL) at 32.35 compared to its 50-day moving average of 29.27 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 39.01; compared to its 50-day moving average of 51.20, WTI Crude oil near $56. CBOE.com/OVX
Equities options volume @ CBOE 997,741 calls, 572,000 puts, 1,569,741 total cboe.com
Options expected to be active @ CBOE: FB AMZN GOOG GOOGL EBAY SBUX
CBOE S&P 500 Skew Index (SKEW) at 124.07. 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 @ 680 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1117, compared to its 10-day moving average of 1114.30. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 272.52, compared to its 50-day moving average of 269.11 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.68, compared to its 50-day moving average of 15.80.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.83, compared to its 50-day moving average of 13.11. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 28.79, compared to its 50-day moving average of 36.
iPath S&P 500 VIX Short-Term Futures (VXX) at 21.50, compared its 50-day moving average of 26.40.
CBOE Volatility Index (VIX) at 12.71, compared to its 50-day moving average of 14.52 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 87c to $209.76 as investors react to concerns about the Greek debt crisis, weaker economic data out of Europe, and unimpressive corporate earnings.
Calls with increasing volume at CBOE:
AAPL 4/24/2015 128 12K contracts
ASHR 5/15/2015 50 11K
MCD 5/8/2015 101 11K
GM 9/18/2015 37 9K
SPY 4/24/2015 211 9K