Blogging Options: CBOE Morning Update 3.25.14

Philly FED Pres Plosser’s remarks on CNBC calmed markets earlier this morning. Housing prices rose 0.8% in Jan, in-line with estimates.  European shares up slightly, Asian stocks lower. Gold off a few pennies, oil up the same amount. Consumer Confidence data released at 9:00am Chicago time.

Volatility as an asset class

Disney (DIS) is up $0.97 to $80.45 in the premarket on agreeing to acquire top YouTube content provider Maker Studios for $500M up-front and as much as $450M in performance earn-outs. Maker receives 5.5B monthly video views via 380M YouTube channel subscribers. Overall option implied volatility of 23 is at its 26-week average. Overall option implied volatility of 23 is near its 26-week average of 22.

Walgreen (WAG) is unchanged at $64.31 on Q2 earnings on 91c compared to consensus of 93c and plans to close 76 drugstores. March weekly call option implied volatility is at 47, April is at 37, July is at 28, October is at 26; compared to its 26-week average of 25.

Sonic (SONC) is up $1.43 to $22.53 in the premarket after the drive-in restaurant chain reported a profit that beat estimates on revenue that just missed expectations, with second quarter same-store sales that grew 1.4%. Overall option implied volatility of 41 is above its 26-week average of 32.

Options expected to be active @ CBOE: BBRY LULU ACN WAG PBR PLUG IRM NVDA ECYT

CBOE S&P 500 PutWrite Index (PUT) at 1397.90, above its 10-day MA of 1402.84 and its 50-day moving average of 1378.07. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1038.58, compared to its 10-day moving average of 1047.69 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.79, compared to its 50-day moving average of 254.51 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.30, compared to its 10-day moving average of 15.51. 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 39c to 43.98 in the premarket.

CBOE Volatility Index (VIX) at 15.09, compared to its 10-day moving average of 15.32 and its 50-day moving average of 15.04 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 0.75 to $186.18 as the Micex stock index rose despite the U.S. and other major countries expelling Russia from the G8

Calls with increasing volume at CBOE:

SPY 3/31/2014 190 23K contracts
AA 4/19/2014 13 13K
SPY 4/19/2014 186 9K
BAC 4/19/2014 18 8K
SIRI 1/17/2015 2.50 8K
EWZ 6/21/2014 48 7K
FB 4/19/2014 75 7K