Blogging Options: CBOE Morning Update 3.10.15

After yesterday’s nice rally, we give it all back.  US Dollar hitting 12-year high (1.076 vs EUR) push Asian shares lower, with European stocks off over 1%. Brent Crude off 1.3%, Gold flat, Grains lower.  + 16 K VIX Futures trade in early hours session. JOLTS Surver after the opening.  Volatility as an asset class:

Qualcomm (QCOM) is up $1.43 to $74.10 in the premarket following its increase in capital return programs, including a $15B stock buyback authorization and dividend raise. Overall option implied volatility of 23 compares to its 26-week average of 22.

Urban Outfitters (URBN) is higher by $2.54 to $42.05 after reporting solid Q4 results and said the momentum carried into Q1. March call option implied volatility is at 52, April is at 34, June is at 30; compared to its 26-week average of 29.

Global X FTSE Greece 20 ETF (GREK) is up 14c to $11.60 as shares rebound from near historic lows on Greece funding concerns.  Overall option implied volatility of 67 compares to its 26-week average of 50.

VIX methodology for Apple (VXAPL) at 27.02 compared to its 26-week average of 31.60 cboe.com/VXAPL

Equity Options Volume @ CBOE; 884,937 calls, 575,347 puts, 1,460,284 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 48.99 compared to its 50-day moving average of 55.36 WTI Crude oil at $49. CBOE.com/OVX

Options expected to be active @ CBOE: QCOM URBN GM AAPL

CBOE EuroCurrency Volatility Index (EVZ) at 10.96, compared to its 50-day moving average of 11.45

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 5.65 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 124.16 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 @ 674.20: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1089.48, compared to its 50-day moving average of 1080.84 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 268.20, compared to its 50-day moving average of 264.95. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.44, compared to its 50-day moving average of 17.84

CBOE 3-Month Volatility Index (VXV) at 17.29, compared to its 50-day moving average of 18.98. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.20, compared to its 50-day moving average of 15.62.

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

Velocity Share VIX Short Term ETN (VIIX) at 37.38, compared to 50-day moving average of 42.50.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 96c to 28.60

CBOE Volatility Index (VIX) at 15.06, compared to its 50-day moving average of 16.98 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 1.84 to $206.51 as U.S. dollar traded at multi-year highs against the euro and yen.

Calls with increasing volume at CBOE:

SPY   3/20/2015 215 47K contracts
AAPL 3/13/2015 128 13K
QQQ 3/31/2015 109 12K

Puts with increasing volume at CBOE:

XLI    3/20/2015   55 84K
XLY   6/19/2015   73 20K
SPY   3/13/2015 208 16K
XLE   6/19/2015   77 11K
AAPL 3/13/2015 125 11K