Blogging Options: CBOE Morning Update 2.3.15

Oil rallying (above $50, +2.5%) looks to lead stocks higher for a second straight day.  European shares higher but confusion with Greek statements pares gains. Staples & office Depot said to be in talks.  Aussies cut rates, NIKKEI off +1% on soft Japanese bond sale.  If you haven’t seen it, find the video on youtube with the mayor of Sun Prairie Wis. getting a little too close to a groundhog yesterday. Volatility as an asset class

Energy Select Sector SPDR (XLE) is up $0.74 to $78.60 in the premarket as WTI rally’s above $50.  February weekly call option implied volatility is at 31, February is at 29, March is at 28; compared to its 26-week average of 27.

AutoNation (AN) is higher by $3.36 to $62.70 after reporting Q4 EPS $1.02, compared to consensus 91c. February call option implied volatility is at 41, March is at 32, April is at 30; compared to its 26-week average of 24.

UPS (UPS) has rallied back to the plus side at $100.23 in the premarket.  They beat on the revenue side but guided  FY15 EPS $5.05-$5.30, compared to consensus $5.31. February weekly call option implied volatility is at 34, February is at 23, March is at 22; compared to its 26-week average of 17.

VIX methodology for Apple (VXAPL) at 29.13, compared to its 10-day moving average of 35.06.

Equity Options Volume 776,991 calls, 590,705 puts, 1,367,696 total cboe.com

Options expected to be active @ CBOE: BHP SDRL XOM BP CVX UPS HCA WEN MHFI

CBOE EuroCurrency Volatility Index (EVZ) @ 12.62; compared to 50-day MA of 10.35

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.49 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 57.84, compared to its 50-day moving average of 49.21, WTI Crude oil rally’s to $47.50 cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 129.97, compares to its 50-day moving average of 130.59.

SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE S&P 500 BuyWrite Index (BXM) at 1073.60 compared to its 10-day moving average of 1072.16 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.10 compared to its 50-day moving average of 262.25 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.79 compared to its 50-day moving average of 18.25.

CBOE 3-Month Volatility Index (VXV) at 20.91, compared to its 50-day moving average of 18.71 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.39, compared to its 10-day moving average
of 18.75, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 47.17; compared to its 10-day moving average of 45.22.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 48c to 34.45

CBOE Volatility Index (VIX) at 19.43, compared to its 50-day moving average of 16.01 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 89c to $202.81 as European stocks are on the rise.  Greece’s new government proposed ending the confrontation with its creditors.

Calls with increasing volume at CBOE:

SPY   3/20/2015  222 31K contracts
USO 5/15/2015     21 15K
AAPL  2/6/2015   120  8K
UAL  2/20/2015     70  7K
VXX  3/13/2015     55  6K