Blogging Options: CBOE Morning Update 3.2.15

Extended Trading Hours (ETH) for VIX options started today, Monday, March 2nd.  Extended Trading hours for VIX options are 2:00 a.m. to 8:15 a.m. Central Time (“CT”).  Regular VIX trading will resume at 8:30 a.m. and continue until 3:15 p.m. CT. www.cboe.com/ETH for more info.     China interest rate cut of 0.25% to spur economy was expected.  Personal Income for January rose 0.3%, Spending with a surprise drop of 0.2%.  ISM to be released 30 minutes into trading day.  A communique from a trader in Myanmar tells us it’s “Peasant’s Day here in Myanmar”, a good day to visit parks, relax, etc.  With coldest February in Chicago history, might not be right day to visit local parks here or Boston.  Commodities, interest rate complex and overseas markets pretty flat, maybe others are relaxing.   Volatility as an asset class:

NXP Semiconductors (NXPI) is up $10.41 to $95.50 in the preopen after announcing a merger with Freescale Semiconductor (FSL) in a transaction which values the combined enterprise at just over $40B. Overall option implied volatility of 34 compares to its 26-week average of 33.

Freescale Semiconductor (FSL) is up $3 to $39.11.  Overall option implied volatility of 44 compares to its 26-week average of 48.

JinkoSolar (JKS) is down 77c to $21.12 in the preopen after the solar PV company reported less than expected Q4 revenue. March call option implied volatility is at 67, April is at 58, June is at 60, September is at 61; compared to its 26-week average of 63.

Equity Options Volume @ CBOE; 1,058,409 calls, 682,380 puts, 1,740,789 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 55.85 compared to its 50-day moving average of 56.03 WTI Crude oil @ $49.

CBOE.com/OVX Options expected to be active @ CBOE: NXPI FSL SSYS LL BBY AMBA CIEN DKS PANW
CBOE EuroCurrency Volatility Index (EVZ) at 10.25, compared to its 50-day moving average of 11.30

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.23 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 126.40 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 @ 682.35: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1093.68, compared to its 50-day moving average of 1077.66 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 268.41, compared to its 50-day moving average of 264.07. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.62, compared to its 50-day moving average of 18.22

CBOE 3-Month Volatility Index (VXV) at 16.90, compared to its 50-day moving average of 19.27. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.60, compared to its 50-day moving average of 15.99. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.29, compared to 50-day moving average of 43.01.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 15c to 27.46

CBOE Volatility Index (VIX) at 13.34, compared to its 50-day moving average of 17.39 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 37c to $211.03 as European shares trade near seven-year highs as Asian stocks moved higher after China cut interest rates.

Calls with increasing volume at CBOE:
EEM   3/20/2015     41  57K contracts
AAPL 2/27/2015    130 20K
SPY    3/20/2015   214 17K
GLD   4/17/2015   132 17K
S         3/20/2015   5.50 9K

Puts with increasing volume at CBOE:
SPY    6/19/2015  195 21K contracts
AAPL 2/27/2015  129 20K
QQQ 5/15/2015  103 20K
HAL   2/27/2015    43 13K