Blogging Options: CBOE Morning Update 3.11.15

US Markets with a small bounce higher after yesterday’s smackdown.  EUR falls below 106.5 vs. the USD overnight.  General Mills off $0.71, Vera Bradley Q4 misses and is off $2.50, BUD up $2, EXPR beats and is up $1 in the pre-market.  European shares mostly higher.   Volatility as an asset class:

Volatility has increased for currencies as the euro declined to a fresh 12-year low and negative German interest rates.

Euro Currency Trust (FXE) is down 91c to $104.35 in the premarket. Overall option implied volatility of 12 compares to its 26-week average of 10.

CurrencyShares Japanese Yen Trust (FXY) is down 19c to $80.84 in the premarket. Overall option implied volatility of 11 compares to its 26-week average of 9.

Wisdom Tree Dreyfus Chinese Yuan Fund (CYB) overall option implied volatility of 19 compares to its 26-week average of 11.

Equity Options Volume @ CBOE; 885,807 calls, 596,476 puts, 1,482,283 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: WSM ARO DG ANN JKS JASO

CBOE EuroCurrency Volatility Index (EVZ) at 12.46, compared to its 50-day moving average of 11.51

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 5.80 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 123.53 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 @ 663.25: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1074.93, compared to its 50-day moving average of 1080.66 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 264.89, compared to its 50-day moving average of 264.94. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.02, compared to its 50-day moving average of 17.87

CBOE 3-Month Volatility Index (VXV) at 18.26, compared to its 50-day moving average of 19. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.71, compared to its 50-day moving average of 15.75.

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

Velocity Share VIX Short Term ETN (VIIX) at 38.58, compared to 50-day moving average of 42.50.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 10c to 28.61

CBOE Volatility Index (VIX) at 16.69, compared to its 50-day moving average of 17.02 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 64c to $205 as the euro plunged to a fresh 12-year low.

Calls with increasing volume at CBOE:

SPY    3/13/2015  210    26K contracts
USO   1/15/2016    50    12K
AAPL  3/13/2015  125    10K
PEP     4/17/2015 105    10K
QQQ   6/19/2015 114.63 9K