Option volume yesterday rose to a respectable 15.6 million contracts yesterday. SPX with ~750k and VIX at 835k contracts. VIX futures with 121k. Feb Trade Deficit rose to 42.3B, higher than expected (will this negatively affect Q1 GDP?). Initial claims rose 16k to 326k. Eyes on employment numbers tomorrow morning.
Volatility as an asset class
Google (GOOG) is trading at $569.25 in the premarket after a 2-1 stock split (dividend). April weekly call option implied volatility is at 34, April is at 37, May is at 30, June is at 24, September is at 23; compared to its 26-week average of 23.
SeaWorld (SEAS) is down $0.73 to $29.71 as the company sees Q1 attendance of 3.045M guests and sees FY14 revenue $1.49B-1.52B. Overall option implied volatility of 37 is at its 26-week average.
Tesla Motors (TSLA) is off $1.29 to $229 after reports that the electric car maker sold 1,493 Model S sedans to Norwegians and the company suing NJ over being ‘unfairly targeted’ by new rules, AP says. April call option implied volatility is at 52, May is at 65, June is at 57.
Options expected to be active @ CBOE: PLUG GOOG VVUS BLDP MNKD MU MON FB MYGN
CBOE S&P 500 PutWrite Index (PUT) at 1415.70, above its 10-day MA of 1404.70 and its 50-day moving average of 1382.52. cboe.com/PUT
CBOE S&P 500 BuyWrite Index (BXM) at 1052.84, compared to its 10-day moving average of 1044.06 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 260.22, compared to its 50-day moving average of 254.74 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.13, compared to its 10-day moving average of 14.14. 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 16c to 40.90 in the premarket.
CBOE Volatility Index (VIX) at 13.09, compared to its 10-day moving average of 14.26 and its 50-day moving average of 15.25 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 5c to $188.93 as China has unveiled another mini-stimulus package as part of an attempt to stabilize slowing growth and maintain confidence.
Calls with increasing volume at CBOE:
SPY 4/19/2014 190 28K contracts
XLK 6/21/2014 39 27K
PBR 4/19/2014 13 20K
PFE 9/20/2014 32 11K
BBRY 4/11/2014 8 10K