Boeing off $3 on downgrade, Oil down ~$2 to $49, Gold lower by $4. 10-year yield off 4 ticks. Baltic Dry with another new low. Overseas markets mixed to fractionally higher. Ms Yellen speaks Tues afternoon & Wed awaited by traders. 35th Anniversary of “Miracle on Ice” at 1980 Olympics. #CBOERMC next week. Volatility as an asset class
Cooper Tire (CTB) is up $1.19 to $38.39 in the premarket on better than expected Q4 results and outlook. March call option implied volatility is at 33, May is at 29, August is at 25; compared to its 26-week average of 28.
Apple (AAPL) is recently 26c to $129.76 in the premarket as shares trade near record high. Overall option implied volatility of 25 is at its 26-week average.
VIX methodology for Apple (VXAPL) at 25.15 cboe.com/VXAPL
CBOE Crude Oil Volatility Index (OVX) at 54, WTI Crude oil @ $49. CBOE.com/OVX
Equity Options Volume 1,303,587 calls, 720,993 puts, 2,024,580 total cboe.com
Options expected to be active @ CBOE: LOW CRM HD M JCP SPWR
CBOE EuroCurrency Volatility Index (EVZ) at 11.60
CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.93 www.cboe.com/vxtyn
CBOE S&P 500 Skew Index (SKEW) at 125.24. 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 95-110 Collar Index CLL @ 684.55: www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1091.64 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 267.89 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.67.
CBOE 3-Month Volatility Index (VXV) at 17.30 cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.74, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 39.25.
iPath S&P 500 VIX Short-Term Futures (VXX) is up 44c to 29.49
CBOE Volatility Index (VIX) at 14.30 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 43c to $210.80. Japan’s Nikkei 225 Stock Average extended 15-year highs today after U.S. equity gauges climbed to records following Greece’s provisional deal on its bailout program.
Calls with increasing volume at CBOE:
SPY 3/20/2015 210 51K contracts
AAPL 2/20/2015 129 19K
DIA 3/20/2015 180 16K
FB 2/20/2015 80 14K
Puts with increasing volume at CBOE:
EWZ 3/13/2015 31.00 23K contracts
SPY 2/27/2015 210 13K
VXX 2/27/2015 28 9K
C 2/27/2015 50.50 9K