Blogging Options: CBOE Mornng Update 3.14.14

Feb PPI dropped 0.2% (+0.1% expected).  Core rate (X-Food & Energy) also dropped 0.2% (gasoline and food prices near me aren’t going lower). US Stock Futures fairly calm this morning.  NIKKEI off 3% in Asain trading, FTSE off 0.6%, the rest of Europe is lower.  20k VIX Futures trade in early session this morning.  VIX up 12% yesterday, VXST (short-term VIX) up ~24%.  U of M Sentiment released 30 minutes into the trading session.

Volatility as an asset class

Aeropostale (ARO) is down $1.07 to $6.23 in the premarket after reporting Q4 results and guiding below analyst’s consensus expectations. The retailer also said it entered a financing deal with private equity firm Sycamore Partners for a 5% stake. Overall option implied volatility of 83 is above its 26-week average of 62.

Ulta Salon (ULTA) is up $5.93 to $95.44  on Q4 earnings rising 9.5% on the beauty-products retailers’ better-than-expected sales growth. March call option implied volatility is at 93, April is at 52 and June is at 46; compared to its 26-week average of 41.

General Mills (GIS) is down $1.51 to $49.50 in the premarket after the packaged-foods maker released Q3 guidance below consensus estimates, citing lower volumes. Overall option implied volatility of 16 is near its 26-week average.

Options expected to be active @ CBOE: ARO PLUG SIRI BLDP FCEL AMZN GIS ULTA GM VIX SPX

CBOE S&P 500 PutWrite Index (PUT) at 1397.05, above its 10-day MA of 1400.61 and its 50-day moving average of 1373.15. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1044.36, compared to its 50-day moving average of 1025.41 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.70, compared to its 50-day moving average of 254.25 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 17.20, compared to its 10-day moving average of 13.90. 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 41c to 46.51 in the premarket.

CBOE Volatility Index (VIX) at 16.22, compared to its 10-day moving average of 14.60 and its 50-day moving average of 14.77 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is off $0.05 at $185.13 a day after stocks sold off on Ukraine anxiety.

Calls with increasing volume at CBOE:

AIG 5/17/2014 55 45K contracts
SPY 3/14/2014 187 14K
EMC 7/19/2014 30 13K
AVP 4/19/2014 17 9K

Puts with increasing volume at CBOE:

SPY 3/22/2014 177 51K contracts
EEM 4/19/2014 38 32K