Blogging Options: CBOE Morning Update 3.20.14

Spring arrives near the close of trading today.  So of course it’s snowing in downtown Chicago. Overseas markets very soft, Yuan tumbles vs. USD. FED forward direction not as clear as traders wanted.  Get your b-ball picks in, tourney starts in 4-hours.

Volatility as an asset class

Jabil Circuit (JBL) is up $0.28 to $18.54 in the premarket after reporting an in-line Q2 and saying it sees fiscal 2015 profit above current estimates. March call option implied volatility is at 83, April is at 41, June is at 36; compared to its 26-week average of 35.

Lennar (LEN) is up $0.91 to $42.25 after the home builder said its Q1 earnings and revenues increased as deliveries and home selling prices increased. March call option implied volatility is at 64, April is at 35, August is at 32; compared to its 26-week average of 35.

HP (HPQ) is up $0.09 to $31.71 in the premarket after raising its quarterly dividend by 10.2% to 16c per share. April and May call option implied volatility is at 24, August is at 25; compared to its 26-week average of 34.

Options expected to be active @ CBOE: NKE SLV PBR FCEL PLUG FB JBL BP TIF DRI

CBOE S&P 500 PutWrite Index (PUT) at 1406.75, above its 10-day MA of 1402.45 and its 50-day moving average of 1376.03. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1052.36, compared to its 10-day moving average of 1049.29 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 258.74, compared to its 50-day moving average of 254.43 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15, compared to its 10-day moving average of 14.98. 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 34c to 44.59 in the premarket.

CBOE Volatility Index (VIX) at 15.12, compared to its 10-day moving average of 15.11 and its 50-day moving average of 14.93 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.53 to $186.13 following hawkish comments from Janet Yellen, who indicated that the Fed could raise interest rates “around six months” after it fully winds down QE. With the bond-buying set to end in the autumn, a rate hike could come in April next year, much earlier than expectations for late 2015.

Calls with increasing volume at CBOE:

EEM 4/4/2014 41 26K contracts
INTC 10/18/2014 30 24K
QQQ 4/19/2014 93.63 19K
SPY 3/22/2014 188 18K
PBR 3/28/2014 11 15K
BAC 3/22/2014 17 12K
BBRY 4/19/2014 9 11K