Blogging Options: CBOE Morning Update 3.9.15

Macerich up $5 on takeover bid.  GM announces a $5 Billion buyback. MCD February Sales disappoint.  Overseas stocks mixed to lower.  Volatility as an asset class:

RTI International (RTI) is up $12.72 to $40 in the premarket, the supplier of titanium and specialty metal products and services for the commercial aerospace, defense, energy and medical device markets will be purchased by Alcoa (AA) in a stock-for-stock transaction with an enterprise value of $1.5B.  Overall option implied volatility of 34 compares to its 26-week average of 33.

Alcoa (AA) is down $0.41 to $14.09.  Overall option implied volatility of 34 compares to its 26-week average of 33.

Pinnacle Entertainment (PNK) is up $6 to $33.43 in the premarket after CNBC’s David Faber report Gaming and Leisure Properties (GLPI) is attempting a hostile takeover in a deal worth $36 per share. Overall option implied volatility of 35 compares to its 26-week average of 37.

VIX methodology for Apple (VXAPL) at 29.80 into ‘Spring Forward’ Watch event cboe.com/VXAPL

Equity Options Volume @ CBOE; 1,116,602 calls, 743,627 put, 1,860,229 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 48.96 compared to its 50-day moving average of 55.46 WTI Crude oil at $49. CBOE.com/OVX

Options expected to be active @ CBOE: AAPL AA RTI GM URBN EXPR KKD MTN BKS QIHU JASO ARO

CBOE EuroCurrency Volatility Index (EVZ) at 10.95, compared to its 50-day moving average of 11.43

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 5.68 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 124.65 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 @ 672: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1085.69, compared to its 50-day moving average of 1080.71 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.82, compared to its 50-day moving average of 264.89. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.75, compared to its 50-day moving average of 17.85

CBOE 3-Month Volatility Index (VXV) at 17.50, compared to its 50-day moving average of 19. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.31, compared to its 50-day moving average of 15.56.
VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.90, compared to 50-day moving average of 42.52.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 34c to 26.72

CBOE Volatility Index (VIX) at 15.20, compared to its 50-day moving average of 16.97 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 20c to $207.70 as the ECB began its €60B per month QE program today by buying German government bonds.

Calls with increasing volume at CBOE:

AAPL      3/6/2015   128  33K contracts
SPY      3/13/2015   211  16K
MNKD 5/15/2015 4.50   15K
BAC        3/6/2015 16.50 13K