Blogging Options: CBOE Morning Update 3.4.15

ADP Job growth came in lighter than expected for February at a 212K rate (~220K expected).  India and Poland cut interest rates, China cut overnight rate.   Commodities in a tight range.  March 4th Chicago’s birthday.  Bob Evans (BOBO, off $12.00) decides not to spin off part of chain.   CBOE RMC kicks off in a few hours.  #CBOERMC to follow.  Volatility as an asset class

Target (TGT) is off $0.25 $77.75 in the premarket on plans to eliminate several thousand positions, mainly from headquarters, a restructuring that will cut $2B in costs over two years. The retailer sees 10% annual EPS growth for 2016 and beyond. March weekly call option implied volatility is at 31, March is at 21, April is at 18, July is at 19; compared to its 26-week average of 20.

Smith & Wesson (SWHC) is up $1.30 to $14.35 after beating estimates on top and bottom lines and increasing its full-year earnings guidance. March call option implied volatility of 49, April is at 38, June is at 34; compared to its 26-week average of 38.

TiVo (TIVO) is up 75c to $12 in the premarket on better than expected Q4 results and outlook. March call option implied volatility is at 59, April is at 45, May is at 42; compared to its 26-week average of 34

Equity Options Volume @ CBOE; 830,818 calls, 545,030 puts, 1,375,848 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 53.05 compared to its 50-day moving average of 55.90 WTI Crude oil near $51.

Options expected to be active @ CBOE: TGT SWHC TIVO BOBE HON AMBA

CBOE EuroCurrency Volatility Index (EVZ) at 10.29, compared to its 50-day moving average of 11.35

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 123.09 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 @ 683.15: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1094.88, compared to its 50-day moving average of 1079.93 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 269.01, compared to its 50-day moving average of 264.64. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.98, compared to its 50-day moving average of 17.91

CBOE 3-Month Volatility Index (VXV) at 16.78, compared to its 50-day moving average of 19.07. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.81, compared to its 50-day moving average of 15.60. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.87, compared to 50-day moving average of 42.69.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 42c to 27.70

CBOE Volatility Index (VIX) at 13.86, compared to its 50-day moving average of 17.07 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 84c to $210.29 as European shares reversed earlier gains this morning following a final estimate of a closely-watched survey of the region’s services and manufacturing sectors.

Calls with increasing volume at CBOE:

PPL      4/17/2015    36 34K contracts
IEI         7/17/2015 123 20K
SPY         3/6/2015 211.50 9K
AAPL      3/6/2015  129 8K
SIRI      5/15/2015       4 7K

Puts with increasing volume at CBOE:

FXB   6/19/2015  145 15K contracts
AAPL   3/6/2015    90 15K
SPY   5/15/2015    200 9K
BAC  3/20/2015      14 8K
EWZ 6/19/2015      34 7K
FXE   4/17/2015   112 7K