“In like a lion, out like a lamb. 0 degrees at my train this morning. Similar temperatures coming to Ukraine. European shares off 1.7% to3%, Asian stocks drop over 1%. Russian stocks were off over 10% at one point. Company news on the thin side this morning. Watch VIX. And two weeks until CBOE Risk Management Conference inFlorida.
Volatility as an asset class
Berkshire Hathaway (BRK.B) is down $0.58 to $115.20 in the premarket after reporting Q4 net profit climbed almost 10%. Overall option implied volatility of 16 is below its 26-week average of 18.
Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is down $0.84 to $68.00 as Treasuries are sharply higher on safety flows amid rising Ukraine/Russian tensions. Overall option implied volatility of 21 below its 26-week average of 24.
SPDR Gold Trust (GLD) is up $2.23 to $129.85 in the premarket on rising Ukraine/Russian tensions. Overall option implied volatility 15 is below its 26-week average of 19.
Options expected to be active @ CBOE: BP PEP JCP AU ABX NEM DNDN TSLA TWTR VIX
CBOE S&P 500 BuyWrite Index (BXM) at 1043.93, compared to its 50-day moving average of 1019.32. cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 257.26, compared to its 50-day moving average of 253.57. cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.03, compared to its 10-day moving average of 12.83.
VXST is a market-based gauge of expectations of 9-day volatility. cboe.com/vxst
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 2.38 to 46.28 in the premarket.
CBOE Volatility Index (VIX) at 14, compared to its 10-day moving average of 14.27 and its 50-day moving average of 14.57. cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 1.60 to $184.70 amid rising Ukraine/Russian tensions.
Calls with increasing volume at CBOE:
SPY 4/19/2014 190 46K contracts
ROC 8/16/2014 90 25K
HTZ 3/22/2014 29 20K
BAC 2/28/2014 16.50 18K
QQQ 4/19/2014 89.63 18K