Blogging Options: CBOE Morning Update 3.3.15

Premier Netanyahu speaks to Congress today.  Futures off globally but not much, Oil moves up to $50. Treasury yields climb slightly.  Aussies kept rates unchanged last night.  Market reaction (if any) to Netanyahu speech unclear.  SPY off $0.60 on 1.6mm shares.  For those unable to attend CBOE’s Risk Management Conference in San Diego starting tomorrow, follow us on #CBOERMC. Volatility as an asset class:

Best Buy (BBY) is up $1.37 to $40 in the preopen after reporting Q4 EPS $1.48, compared to consensus $1.35. The technology retailer announced a special dividend of 51c and raised its regular dividend 21% to 23c. March weekly call option implied volatility is at 60, March is at 42, April is at 35, June is at 34; compared to its 26-week average of 41.

Palo Alto (PANW) is down $0.87 to $145.10 after the security software company reported better than expected Q2 results and outlook. March weekly call option implied volatility is at 83, April is at 45, June is at 39; compared to its 26-week average of 43.

Nutrisystem (NTRI) is up $2.20 to $19.35 in the preopen on better than expected Q4 results and a strong start to the spring diet season. March call option implied volatility is at 66, April is at 42, June is at 38; compared to its 26-week average of 37.

Equity Options Volume @ CBOE; 777,346 calls, 444,643 puts, 1,221,989 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 54.92 compared to its 50-day moving average of 55.97 WTI Crude oil @ $50.

Options expected to be active @ CBOE: BBY AMBA CIEN PANW DKS LL MDR NTRI

CBOE EuroCurrency Volatility Index (EVZ) at 10.38, compared to its 50-day moving average of 11.33

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.42 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 126.01 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 @ 686.25: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1097.16, compared to its 50-day moving average of 1079.03 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 269.50, compared to its 50-day moving average of 264.40. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.27, compared to its 50-day moving average of 18.03

CBOE 3-Month Volatility Index (VXV) at 16.45, compared to its 50-day moving average of 19.14. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.85, compared to its 50-day moving average of 15.73. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.10, compared to 50-day moving average of 42.80.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 14c to 26.84

CBOE Volatility Index (VIX) at 13.04, compared to its 50-day moving average of 17.18 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 33c to $211.66 as U.S. averages sit near all-time highs. The Nasdaq eclipsed the 5,000 level for the first time since 2000 and had its third highest close ever.

Calls with increasing volume at CBOE:

SPY   3/31/2015  219 15K contracts
AAPL   3/6/2015 130 10K
INTC 3/20/2015    37  6K
VXX     3/6/2015    27  5K
NEE  3/20/2015  105  5K
PBR  4/17/2015      7  5K
C       3/20/2015 52.50 4K
SLV    3/20/2015  18  4K