CBOE, C2 & CFE Good Friday Holiday Trading Schedule

We have another long weekend coming up.  A week from tomorrow, Friday April 3rd is Good Friday.

Thursday, April 2nd will have regular trading hours for all products at CBOE, C2 and CFE.

Friday April 3rd, CBOE and C2 are closed for business, so there will be no Stock, ETF or Index option trading on that date.  Regular trading will resume Monday morning.

On Thursday evening April 2nd, CFE opens its extended trading session at 3:30pm CDT for VIX (VX) Futures and will close at 8:15am Friday, April 3rd.  Extended trading hours begins again Sunday evening at 5:00pm.  VXTYN will have an abbreviated trading session on Friday, April 3rd from 7:00 a.m. to 10:15 a.m. CDT.
Trades in both the Thursday and Friday extended sessions will be submitted for clearing on the Business Day of Monday, April 6, 2015. Trading will be closed for all CFE products other than VIX and VXTYN futures on Friday, April 3, 2015.

To recap, regular trading hours on Thursday April 2nd on everything.  No option trading Friday April 3rd at CBOE or C2.  Trading in extended hours sessions at CFE Thursday night and Friday morning in VIX Futures, VXTYN  abbreviated session Friday morning.  All extended hours trades clear in Monday session).

Have a good Easter.

History of Good Friday trading:

The Council of Nicaea (A.D. 325) set the date of Easter as the Sunday following the paschal full moon, which is the full moon that falls on or after the vernal equinox (~March 21).  Good Friday is the Friday before Easter. More than you wanted to know, but that’s why Easter is a “moveable holiday” like Labor Day or Memorial Day.

The New York Stock Exchange has been closed every Good Friday for over 150 years, with the exception of 1898, 1906, and 1907. The Friday before Easter is the only non-federal holiday observed by the NYSE.

Urban myth says that those times the market was open on Good Friday that the market crashed.  It’s a great story but it’s not true.  Good Friday in 1907 was actually an up-day, but right in the middle of a 9-month bear market with several panic trading days.

The real reason may be that many Christians went to religious services on Good Friday.  Brokers and exchanges thought that there would be little trading on that day, as well as their employees asking for the afternoon off to attend those services. Passover is the same weekend in 2015.

So the answer is… no one knows, we’ve always been closed on Good Friday

 

CBOE Mid-Day Update 3.26.15

Volatility as an asset class

Accenture (ACN) is recently up $6.21 to $94.42 after the consulting company raised its growth target.  April weekly call option implied volatility is at 23, April is at 15, May is at 16, August is at 17; compared to its 26-week average of 19.

Five Below (FIVE) is recently up $3.81 to $36.02 after the teen focused retailer reported Q4 profit rose 34% and plans to continue its rapid expansion. April call option implied volatility is at 36, May and August is at 35; compared its 26-week average of 43.

United States Oil Fund (USO) is recently up 64c to $18 as WTI trades up 2% to $50.25. April weekly call option implied volatility is at 47, April is at 46, May is at 45; compared to its 26-week average of 37.

Active oil stocks, ETF & index’s @ CBOE:  USO, OIL, XLE, UCO and PBR

CBOE Crude Oil Volatility Index (OVX) up 4% to 48.92 compared to its 10-day moving average of 20.35 as WTI oil trades near $50.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4.5% to 23.15 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR AMZN GILD FB NFLX AMAT

Options with increasing volume @ CBOE: SWKS SNDK MU BTX ALL FIVE SGYP SWFT RHT IDCC NVS WGO

CBOE Volatility Index (VIX) up 1% to 15.58, high 17.19, low 15.52, April 17, 18, 24 and 25 calls are active on total volume of 120K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 14c to 26.14.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 3.7% to 15.85; compared to its 50-day moving average of 15.21. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 267.50 compared to its 50-day moving average of 266.04 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.1% to 205.80 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 0.1% to 900.40 on middle-east geo-political risks.

Blogging Options: CBOE Morning Update 3.26.15

Overseas markets leading stocks lower again today (European shares retreat ~1.4%), as Saudi Arabia sends troops into Yemen.  Oil prices jumped, Bond yields higher.  Several big spreads in VIX Options yesterday.  Volatility as an asset class:

lululemon (LULU) is down $0.66 to $61 (big range in the pre-market) after reported Q4 EPS of $0.78, $0.05 better than the analyst estimates. Revenue for the quarter came in at $602M versus the consensus estimate of $601M. March weekly call option implied volatility is at 104, April is at 56, June is at 43, September is at 36; compared to its 26-week average of 36.

SanDisk (SNDK) is down $10.27 to $71.15 after the flash storage solutions provider said its Q1 revenue will be around $1.3B compared to the $1.4B-$1.4B previously forecasted. Overall option implied volatility of 37 compares to its 26-week average of 31.

Red Hat (RHT) is up $4.05 to $72.50 in the pre-market after reporting Q4 EPS of $0.43, $0.02 better than the analyst estimate of $0.41. April call option implied volatility is at 46, May is at 34, June is at 31, September is at 29; compared to its 26-week average of 31.

CBOE Crude Oil Volatility Index (OVX) at 47.83 compared to its 50-day moving average of 55.03, WTI Crude oil above $51. CBOE.com/OVX

Equity Options Volume @ CBOE; 987,157 calls, 684,767 puts, 1,671,924 total cboe.com

Options expected to be active @ CBOE:  SNDK LULU RHT FIVE ACN BBRY MGA XOM COP HAL SLB

CBOE S&P 500 Skew Index (SKEW) at 122.95. 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 @ 672.85 www.cboe.com/CLL

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CBOE Mid-Day Update 3.25.15

Volatility as an asset class
Kraft (KRFT) is recently up $23.66 to $84.97 on privately held H.J. Heinz Company announcing the purchase of Kraft. Heinz shareholders will own a 51% stake in a combined company, while Kraft shareholders will hold a 49% stake and receive a special cash dividend of $16.50 per share. April option implied volatility is at 29, May is at 25; compared to its 52-week average of 16.

Peer April option implied volatility on Heinz merger agreement

Campbell Soup (CPB) is recently down 2c to $45.37. April call option implied volatility is at 15, May and August is at 16; compared to its 26-week average of 18.

Kellogg (K) is recently up 88c to $63.83. April call option implied volatility is at 17, May is at 16, July is at 16; compared to its 26-week average of 19.

General Mills (GIS) is recently up 81c to $54.01. April call option implied volatility is at 17, May and July is at 16; compared to its 26-week average of 16.

CBOE Crude Oil Volatility Index (OVX) is recently down 1.9% to 47.04 compared to its 10-day moving average of 52.35 as WTI oil trades near $47.  CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.9% to 21.41 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR KRFT PBR TSLA GILD NFLX C AMZN

Options with increasing volume @ CBOE: KRFT RIG PBR LL NVO SXC SONC LXK APO

CBOE Volatility Index (VIX) up 7.7% to 14.67, high 14.75, low 13.20, April 22 and 24 calls are active on total volume of 130K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 48c to 24.58.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 13.7% to 13.92; compared to its 50-day moving average of 15.25. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.6% to 269.48 compared to its 50-day moving average of 265.99 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.7% to 207.70 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 0.8% to 908.40 on industrial orders that unexpectedly

Blogging Options: CBOE Morning update 3.25.15

Chicago (Northfield) based Kraft joins Warren Buffett’s conglomerate, see below.  “Synergies” = possible layoffs, we’ll see.  February Durables drop 1.4%, +0.2% expected.  Most of the components looked awful.  January Durable Goods revised sharply lower. Relationship to positive Housing Starts yesterday and revised Q1 GDP will be discussed on trading desks today.  10-year 1.86%.  Volatility as an asset class

Kraft Foods (KRFT) is up $18.60 to $80 in the preopen on privately held H.J. Heinz Company and publicly held Kraft Foods Group (KRFT) announcing Heinz shareholders will own a 51% stake in a combined company,  Kraft shareholders with 49% stake and a special cash dividend of $16.50 per share. Together the new company will have eight $1B+ brands and five brands between $500M-$1B.  April option implied volatility is at 15, May is at 19; compared to its 52-week average of 16.

Merck (MRK) is up $0.85 to $59.47 in the preopen after announcing new $10B share repurchase program. Overall option implied volatility of 16 compares to its 26-week average of 19.

Steelcase (SCS) closed at $19.92 into sees Q1 adj. EPS 13c-17c, consensus 15c.  April call option implied volatility is at 41, May is at 32, July is at 30; compared its 26-week average of 29.

CBOE Crude Oil Volatility Index (OVX) at 47.94 compared to its 50-day moving average of 55.14, WTI Crude oil near $47. CBOE.com/OVX

Equity Options Volume @ CBOE; 751,475 calls, 523,710 puts, 1,275,185 total cboe.com

Options expected to be active @ CBOE:  KRFT MDLZ PEP KO SJM K GIS RHT LULU BBRY MRK

CBOE S&P 500 Skew Index (SKEW) at 126.82. 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 @ 679.30 www.cboe.com/CLL

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Sentiment Tools: Taking the Temperature of the Market With the VIX, Part 1

Random movements in the stock market are very tough to explain but if we can understand the role of sentiment, these moves make sense.  Remember, stocks move along the spectrum of fear and greed, a chart being an excellent portrayal of these emotions.  We can point to several sentiment-related indicators to get a pulse of market players, this is especially useful in the short run.  In part 1 of a series, we’ll take a look at some of these and how they impact decisions and market movement.

A chart can tell us everything we need to know about emotions.  Buying and selling are the actions of emotions fear and greed.  But sentiment tends to build and compound, much like an adrenaline rush we can overdose on one or the other.  Certain points in time we can run too far on either end of the spectrum, it is at these moments when the bus becomes too full and a turn is likely to happen.

The VIX, or volatility index (fear index) is a superb tool which tells us where short term option players are placing their bets.  The VIX rises when fear is present, drops when the fear subsides.  What worries markets and causes the VIX to rise?  Basically it is uncertainty over future events and high complacency.  If traders/investors become too greedy it shows up in a very low VIX reading, much like we have currently (VIX is at 13%, the lowest of the year and the lowest since December).

What does this mean?  Simply put the market is not showing worry about stocks going down, but a contrarian thinker might say there are no buyers left at this point and seller are only left to act.  When everyone is in the pool and has bought there is little left to boost stock prices (or so the theory goes).

When the VIX is elevated that normally tells us fear is rising and buyers are absent, and that has often presented opportunities to buy when extreme levels are reached.  But how do we know?  I will bracket the daily VIX chart with Bollinger bands, two standard deviations from the mean.  The bands capture 95% of the price action in VIX but it is the moves toward the upper band and through it that tell us the best times where a reversal is about to happen.  Take a look at the chart below.

vix bl

CBOE Mid-Day Update 3.24.15

Volatility as an asset class

Twitter (TWTR) is recently up $2.40 to $50.87 after shares traded at a new recent high of $51.09. March weekly call option implied volatility is at 48, April is at 38, May is at 51, June is at 42, September is at 41; compared to its 26-week average of 53.

Netflix (NFLX) is recently up $15.09 to $440 after Cantor Fitzgerald raised his price target on shares of Netflix to $500 from $450 saying the streaming service is the “clear winner” as TV unbundles. March weekly call option implied volatility is at 29, April is at 47, May is at 45; compared to its 26-week average of 34.

Apple (AAPL) is recently up 48 to $127.60. March weekly call option implied volatility is at 22, April is at 21, May is at 29, June is at 25; compared to its 26-week average of 26.

CBOE Crude Oil Volatility Index (OVX) is recently down 2.7% to 48 compared to its 10-day moving average of 52.57 as WTI oil trades near $47.  CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.86% to 21.60 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TEVA TSLA AMZN RIG NFLX FB GILD GOOG AMAT

Options with increasing volume @ CBOE: HLF OPK OAS LOCK OPK NVO BKX BBG ROYT SONS GII ARAY CMCM ABMD

CBOE Volatility Index (VIX) down 6% to 12.61, high 13.55, low 12.59, April 14 puts and April 22 calls are active on total volume of 104K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 43c to 24.81.

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SPX Weekly Bear Call Spread Analysis

I’ve seen several trades using RUT options to initiate out of the money credit spreads as of late. However, I just came across a pretty interesting one using SPX options. There was a seller of SPX Mar 27th 2140 Calls at 0.35 who also purchased the SPX Mar 27th 2150 Calls at 0.15 for a net credit of 0.20. As long as the S&P 500 is not over 2140 on the close this coming Friday the credit of 0.20 will result in a profit. The payoff diagram below shows the risk – reward of this trade along with yesterday’s closing SPX level.

SPX PO

There’s something else that is worth mentioning about this SPX Mar 27th 2140 / 2150 Bear Call Spread. This was executed while most of us were sleeping or just before 3:00 am Chicago time during what we at CBOE refer to as the extended hours session (ETH).

Blogging Options: CBOE Morning Update 3.24.15

Stocks look flat on the opening, as CPI and Core Rate each rise 0.2%.  McCormick (MKC) beat estimates, looks to open higher by 4%. NFLX could help NASDAQ.  Overseas markets modestly higher.  10-year 1.904. Housing numbers released after the opening, expected higher. Volatility as an asset class:

Chesapeake (CHK) is up $0.44 to $14.55 in the preopen on Carl Icahn disclosing an increased stake in the company to 73M shares (10.98%), up from 66M shares (9.98%) in December. March weekly call option implied volatility is at 48, April is at 44, July is at 47; compared to its 26-week average of 41.

Whiting Petroleum (WLL) is indicated down $7 to $31.39  on offering of 35M shares of common stock. April call option implied volatility is at 77, May is at 74; compared to its 26-week average of 49.

Sonus (SONS) closed at $13.16 into cutting its Q1 revenue view to $47M-$50M from $74M.  Overall option implied volatility of 46 compares to its 26-week average of 48.

CBOE Crude Oil Volatility Index (OVX) at 49.32 compared to its 50-day moving average of 55.19, WTI Crude oil near $47. CBOE.com/OVX

Equity Options Volume @ CBOE; 907,438 calls, 503,796 puts, 1,411,234 total cboe.com

Options expected to be active @ CBOE:  WLL CHK SONS RHT LULU BBRY OCN FB TSLA

CBOE S&P 500 Skew Index (SKEW) at 127.12. 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.

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Earnings This Week – 3/23 – 3/27

A more appropriate title for this blog would be “Earnings Later This Week” as there are only four stocks with short dated options reporting earnings this week and they all report either Thursday or Friday.    The list below depicts three years of earnings history with the biggest move higher, lower, average move, and what the stock did last quarter shown for each stock.

Earnings

The Fed Gives A Boost – Weekly Market Outlook

Thanks to a little help from the Federal Reserve on Wednesday, the market broke out of a three-week-old bearish rut, and in the process may have rekindled a bigger uptrend.  In fact, technically speaking, the uptrend is back underway. We’ll handicap the market below.  First, let’s run down last week’s and this week’s economic news.

Economic Data

There’s little doubt as to last week’s economic focal point… the release of the minutes from the most recent FOMC meeting. It was an interesting (and a slightly mixed) message. The Fed dropped the word “patient” from the description of how long it would wait to raise interest rates, and then made a point of saying it was in no hurry to do so given the current state of the economy.

The real curveball, though – and the key reason the U.S. Dollar may have started a pullback – was the long-term interest rate forecast the Federal Reserve’s governors offered.

Though the forecasted average Fed Funds Rate for 2015 and 2016 was only pulled back by about a quarter of a point, that’s a huge difference… and one all the dollar’s recent bulls weren’t expecting. In fact, much of the dollar’s recent rise was driven by an assumption that rates would rise even faster than had been projected. The Fed’s message suggested the opposite was in the cards, rocking the dollar, but prodding a stock market that was growing weary of such a strong greenback.

The Federal Reserve and the dollar weren’t the only items worth talking about on the economic front last week though. We also heard about February’s industrial productivity and capacity utilization data. The Industrial Production Index was up 0.1%, while capacity utilization fell from 79.1% to 78.9%. It’s not trouble yet, though a couple more months of the same could be a real red flag.

We also heard February’s housing starts and building permits data. Though starts fell from a pace of 1.081 million to 897,000, even on a seasonally-adjusted basis we can attribute the lull to a nasty wave of winter weather than ripped across much of the United States. The total number of issued permits actually grew, from 1.06 million to 1.092 million.  Generally speaking, the housing construction trend remains a positive one.

Economic Calendar
PH 32215-econ-data
Source: Briefing.com

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CBOE Mid-Day Update 3.23.15

Volatility as an asset class

Pfizer (PFE) is recently up 95c to $35.22, fresh ten year high, after a Jefferies analyst wrote that the company’s shares are poised to rise significantly over the next one to two years.  Overall option implied volatility of 16 compares to its 26-week average of 17.

NVIDIA (NVDA) is recently down 65c to $22.02 on Goldman’s downgrade to Sell with a $20 price target. The firm believes the market under-appreciates the risk of the Intel (INTC) license not being renewed and expects GPU growth to decelerate given weakness in PC fundamentals and gaming growth that will normalize at lower levels.  March weekly call option implied volatility is at 32, April is at 26, May is at 24, June is at 25; compared to its 26-week average of 28.

McDonald’s (MCD) is recently up $1.76 to $98.81 on speculation that Glenview Capital might push the company to spin real estate assets into a REIT, Bloomberg, citing an investor letter. March weekly call option implied volatility is at 18, May is at 19, June at 17; compared to its 26-week average of 18.

CBOE Crude Oil Volatility Index (OVX) is recently down 2.7% to 49.54 compared to its 50-day moving average of 49.55 as WTI oil trades near $47.  CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.86% to 21.60 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TEVA TSLA AMZN RIG NFLX FB MCD

Options with increasing volume @ CBOE: HLF WUBA CBL RTRX GOL SONC SWI CP PGH FNF FTNT

CBOE Volatility Index (VIX) up 2.7% to 13.37, high 13.53, low 13.10, April 22 and 26 calls are active on total volume of 103K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1% to 25.45.
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Blogging Options: CBOE Morning Update 3.23.15

Stocks bouncing around unchanged this morning, as 3″ of snow greet Chicago commuters.  Oil prices down again, but be aware that front month crude changes months today.  Biogen downgraded before opening. NCAA tourney gets high marks for exciting games this past weekend. Volatility as an asset class:

Global X FTSE Greece 20 ETF (GREK) closed at $10.75 into meeting between the leaders of Greece and Germany to resolve debt issues. Overall option implied volatility of 68 compares to its 26-week average of 58.

Yahoo (YHOO) is up 11c to $45.14 in the preopen on its price target lowered to $61 from $66 at BofA/Merrill  to reflect a lower valuation for the Alibaba (BABA) stake.  March weekly call option implied volatility is at 27, April is at 24, May and July is at 27; compared to its 26-week average of 35.

Alibaba (BABA) is down 20c to $85. March weekly call option implied volatility is at 34, April is at 36, May is at 29, July is at 28; compared to its 26-week average of 34.

CBOE Crude Oil Volatility Index (OVX) at 50.84 compared to its 50-day moving average of 55.22, WTI Crude oil near $45. CBOE.com/OVX

Equity Options Volume @ CBOE; 1,319,315 calls, 756,553 puts, 2,075,868 total cboe.com

Options expected to be active @ CBOE:  GILD PBR LULU THC BIIB NVDA NBG GREK

CBOE S&P 500 Skew Index (SKEW) at 131.09. 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.

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The Week in Small Cap Stocks – 3/16 – 3/20

Small cap stocks widened the lead against large cap stocks for 2015 as the Russell 2000 was up 2.78% while the Russell 1000 advanced by 1.95% last week. That places the Russell 2000 up 5.12% while the Russell 1000 is now up 2.96% for 2015. The volatility markets diverged a bit from the small cap outperforming large cap stocks as the large cap focused VIX lost 18.63% while the CBOE Russell 2000 Volatility Index (RVX) was down 16.48% for the week. Despite this the RVX / VIX spread remains a low levels when compared to 2014 where the risk perception of small cap stocks was justifiably higher than the risk priced in for having large cap exposure. I say justifiably high as small cap stocks spent most of 2014 underperforming large caps. The chart below depicts the daily spread between RVX and VIX depicted as the ratio of RVX divided by VIX from the first day of 2014 through Friday March 20, 2015.

RVX VIX Spread

At least on trader was very bearish on small cap stocks the day after the Fed announcement this past week. I’ve been writing about out of the money option selling or credit spreads in RUT a lot lately, but this week there is someone that took the other side of the belief that a big drop is not on the horizon. The actual trade, which was executed Thursday was a buy of about 3000 RUT May 950 Puts for 0.65 (as a side note – another 2000 were purchased on Friday for 0.55). On Thursday the Russell 2000 closed around 1255, this means the break-even level for this trade involves a drop of over 32% in just under two months. The payoff diagram below shows that a market crash in the next couple of months may result in a nice profit. Of course a 33% drop in the Russell 2000 would have some side effects on the rest of the world financial world. My position is as a market observer, but I can’t help but root against this trade as if it is successful the damage would be pretty extensive.

RUT PO

 

The Week in VIX – 3/16 – 3/20

Last week VIX experienced the second biggest week over week percentage drop for 2015. The largest move lower occurred the week before the three day Martin Luther King holiday weekend so that one may need to be given an asterisk.   However, VIX going back to the tweens last week should not be ignored as an indication of a new round of equity market complacency sinks in. Someone needs to tell that to the April VIX futures which remain at a pretty high premium (over 3 points) relative to the spot index despite Janet Yellen making the word safe for stocks again last week.

VIX Futures

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