Blogging Options: CBOE Morning Update 3.7.14

Employment report at +175k jobs came in better than expected, after estimates had been lowered all week. Unemployment rate ticked up to 6.7%. Participation rate unchanged.  Ukraine situation not improving, rumored bond default in China roiling Asian markets.  10-year at 2.80%.

SWY Safeway (SWY) is down $1.25 to $38.21 after announcing a deal to be acquired by Albertsons for about an estimated $40 per share in a merger that had been roundly telegraphed in recent media reports. April call option implied volatility is at 26, June is at 20; compared to its 26-week average of 33.

Gap (GPS) is off $0.86 after reporting February same-store sales fell 7% against the prior year, with February sales totaling $929M compared to $966M for the same month a year ago. Overall option implied volatility of 27 is near 26-week average of 28.

Skullcandy (SKUL) is up $3.27 to $10.70 after the headphone manufacturer reported better than expected Q4 earnings.  Overall option implied volatility of 70 is above its 26-week average of 52.

Options expected to be active on Feb employment @ CBOE: $SWY $BIG $FEYE $BLDP $FCEL $SKUL

CBOE S&P 500 BuyWrite Index (BXM) at 1049, compared to its 50-day moving average of 1022.46

CBOE DJIA BuyWrite Index (BXD) at 258.17, compared to its 50-day moving average of 253.96

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.08, compared to its 10-day moving average of 13.31.

VXST is a market-based gauge of expectations of 9-day volatility

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 5c to 43.02 in the premarket.

CBOE Volatility Index (VIX) is up fractionally, higher by 0.05  to 14.26, compared to its 10-day moving average of 14.31 and its 50-day moving average of 14.57

SPDR S&P 500 ETF Trust (SPY) is recently up 10c to $188.28 on jobs data and Ukraine uncertainty.

Calls with increasing volume at CBOE:

EWJ 6/21/2014 12 248K
SPY 3/28/2014 192.50 24K
F 3/7/2014 15.50 20K
BAC 4/19/2014 17 12K
POT 4/19/2014 37 10K
EEM 6/21/2014 44.50 10K
XLF 3/28/2014 22.50 10K