Blogging Options: CBOE Morning Update 3.4.14

Happy “Fat Tuesday”.  Overnight markets continued south as additional Russian troops arrived in Ukraine and Gazprom warned of possible natural gas disruptions, then roared higher as Mr Putin said Russian “military exercise” may be over. US stock futures off their highs but up sharply. Over 1 million VIX options trade yesterday and 260k VIX Futures. 23k VIX futures in early session this morning. Crude off 1% but still above $100.

Volatility as an asset class

Qualcomm (QCOM) is up $2.17 to $75.90 in the premarket after the integrated circuit company announced a $5B increase in its stock repurchase authorization. Overall option implied volatility 18 is at its 26-week average.

J.C. Penney (JCP) is $0.68 to $8.64 after S&P revised its outlook to stable from negative. March call option implied volatility is at 97, March is at 106, April is at 76, August are at 70; compared to its 26-week average of 82.

AutoNation (AN) is up $0.27 to $52.92 after the vehicle retailer announced it sold 21,987 new vehicles in February, up 4% from the same period a year ago. Overall option implied volatility of 24 is at its 26-week average.

RadioShack (RSH) is down $0.63 to $2.09 in the premarket after the electronics retailer missed the Q4 profit estimate of analysts. Overall option implied volatility of 87 is near its 26-week average of 86.

Options expected to be active @ CBOE: MDR VIPS RSH IRE YNDX RSX BP JCP MBI DANG VIX

Energy stocks expected to be active @ CBOE: PLUG FCEL BLDP PEIX BP SCTY XOM

CBOE S&P 500 BuyWrite Index (BXM) at 1041.20, compared to its 50-day moving average of 1020.16 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.16, compared to its 50-day moving average of 253.68 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.21, compared to its 10-day moving average of 13.37. 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 down 1.83 to 44.54 in the premarket.

CBOE Volatility Index (VIX) at 16, compared to its 10-day moving average of 14.51 and its 50-day moving average of 14.56 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 1.61 to $186.59 following sharp losses yesterday after Russia threatened a full-scale invasion of Ukraine.

Calls with increasing volume at CBOE:

SPY 3/22/2014 186 18K contracts
RSX 3/22/2014 24 10K
C 3/22/2014 50 10K
AIG 5/17/2014 55 9K
BAC 3/7/2014 16.5 8K
INTC 3/22/2014 24 8K

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