Blogging Options: CBOE Morning Update 3.18.14

Putin Rally.  Futures stopped skidding and moved to the plus side on comments that Russia does not want to annex part or all of Ukraine (similar to comments three weeks ago about Crimea).  Housing Starts fell 0.2% (up 3.2% was expected).  The CPI was in-line. 10,500 VIX Futures trade in early session.  March VIX Settlement price later this morning.

Volatility as an asset class

Hertz (HTZ) is up $0.49 to $27.71 in the premarket after its board approved a separation of equipment rental business, a new $1B share repurchase program and reported Q4 EPS of 26c, compared to consensus 32c. March call option implied volatility is at 83, April is at 48, June is at 39; compared to its 26-week average of 38.

Market-Vector Russia ETF Trust (RSX) is up $0.41 to $22.87 after Vladimir Putin said he isn’t seeking to split up Ukraine. March call option implied volatility is at 56, April is at 45, August is at 34; compared to its 26-week average of 26.

IShares Barclay 20+ YR Treasury ETF (TLT) is up $0.08 to $107.79 into the first Federal Reserve monetary policy meeting chaired by Janet Yellen. Overall option implied volatility of 11 is at its 26-week average of 12.

Options expected to be active @ CBOE: AMZN YNDX GMCR KNDI HTZ BAC GOOG

CBOE S&P 500 PutWrite Index (PUT) at 1403.85, above its 10-day MA of 1401.40 and its 50-day moving average of 1374.44. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1050.54, compared to its 50-day moving average of 1048.46 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 258.48, compared to its 50-day moving average of 254.32 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.87, compared to its 10-day moving average of 14.63. 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 68c to 44.52 in the premarket.

CBOE Volatility Index (VIX) at 15.64, compared to its 10-day moving average of 14.94 and its 50-day moving average of 14.88 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 52c to $186.87 after Vladimir Putin said he isn’t seeking to split up Ukraine.

Calls with increasing volume at CBOE:

HTZ 3/22/2014 29 20K contracts
EEM 4/4/2014 40 19K
VXX 3/28/2014 58 15K
PBR 3/22/2014 11 10K
DXJ 4/19/2014 49 9K
SPY 3/22/2014 187 9K
GDX 4/19/2014 27 9K