Blogging Options: CBOE Morning Update 3.6.14

EU leaves rates unchanged. Crimean Parliament sets date for a referendum on leaving Ukraine and joining Russia, which doesn’t do much to calm situation.  Q4 Productivity disappoints at +1.8% (3.2% previous, and +2.2% expected).  Initial Claims in line.  markets firm after numbers.

Volatility as an asset class

Costco (COST) is down $3.47 to $113 in the premarket on FQ2 earnings missing expectations, hurt by a poor holiday season. Net profit dropped to $463M from $547M a year earlier. March weekly call option implied volatility is at 60, March is at 23, April is at 21, July is at 20; compared to its 26-week average of 18.

Staples (SPLS) is down $1.35 to $12.05 after announcing a $500M cost saving program while posting a decline in sales and traffic in Q4. Overall option implied volatility of 41 above its 26-week average of 33.

Boyd Gaming (BYD) is down $0.20 to $11.41 in the premarket after the gaming and entertainment company reported Q4 gaming revenue of $585 compared to $541M a year ago  March call option implied volatility is at 78, April is at 58, September is at 54; compared to its 26-week average of 54.

Options expected to be active @ CBOE: VZ BAC DANG SPLS BORN FCEL PLUG TSLA BLDP

CBOE S&P 500 BuyWrite Index (BXM) at 1048.88, compared to its 50-day moving average of 1021.75 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 257.85, compared to its 50-day moving average of 253.87 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.49, compared to its 10-day moving average of 13.33. 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 down 10c to 43.10 in the premarket.

CBOE Volatility Index (VIX) at 13.89, compared to its 10-day moving average of 14.37 and its 50-day moving average of 14.56 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 25c to $188 on uncertain tension between Russian and Ukraine into Friday’s February employment report.

Calls with increasing volume at CBOE:

GM 3/22/2014 37 25K contracts
CNP 5/17/2014 25 20K
NOK 5/17/2014 8 16K
BAC 3/22/2014 17 15K
GM 6/21/2014 40 12K
SPY 3/22/2014 189 11K
GM 3/22/2014 41 10K
AVNR 6/21/2014 4 10K