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