Blogging Options: CBOE Morning Update 3.6.15

February Non-Farm Payrolls gain a surprising 295K jobs.  Participation Rate 62.8%.  Unemployment rate falls to 5.5%.  10-year rate rises to 2.2%.  Will the monthly jobs report allow the FED to raise rates sooner rather than later?  US stock futures turn negative.  Apple (up $1.00) replaces T in the DJIA in two weeks.  Last day of CBOE’s RMC.  Volatility as an asset class

Staples (SPLS) is off $0.21 to $16.29 in the preopen on inline Q4 results and guidance. March call option implied volatility is at 40, April is at 31, June is at 30; compared to its 26-week average of 33.

Foot Locker (FL) is up $2.97 to $60 on better than expected Q4 earnings on sales strength. March call option implied volatility is at 44, April is at 32, August is at 27; compared to its 26-week average of 28.

Big Lots (BIG) is up 18c to $48 in the premarket on inline Q4 and lower guidance. March call option implied volatility is at 56, April is at 39, July is at 33; compared to its 26-week average of 37.

Equity Options Volume @ CBOE; 916,597 calls, 588,088 puts, 1,504,685 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 47.09 compared to its 50-day moving average of 55.57 WTI Crude oil near $51. CBOE.com/OVX

Options expected to be active @ CBOE: FL SPLS BIG BAC C GPS TBT URBN ABBV PCYC

CBOE EuroCurrency Volatility Index (EVZ) at 10.77, compared to its 50-day moving average of 11.40

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 5.95 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 127.26 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 @ 681.15: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1094.26, compared to its 50-day moving average of 1080.64 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 268.82, compared to its 50-day moving average of 264.85. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.22, compared to its 50-day moving average of 17.84

CBOE 3-Month Volatility Index (VXV) at 16.64, compared to its 50-day moving average of 19. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.16, compared to its 50-day moving average of 15.52.

VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.29, compared to 50-day moving average of 42.53.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 16c to 26.72

CBOE Volatility Index (VIX) at 14.04, compared to its 50-day moving average of 16.97 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is lower as the dollar traded at an 11-year high and traders react to the good jobs #.

Calls with increasing volume at CBOE:

AAPL  3/6/2015 127  15K contracts
BAC    3/6/2015   16    8K
MRVL 3/6/2015 16.50 7K
SPY     3/6/2015 211   7K

Puts with increasing volume at CBOE:

F     1/15/2016     15 23K contracts
SPY 4/17/2015  180 19K
VXX 4/17/2015    22 17K
IYR  3/20/2015    76 10K
AAPL 3/6/2015  127   9K