Retail Sales for February were down 0.6% (small rise expected, Core off 0.2% as expected). This following a Jan drop of 0.8% and Dec Sales reporting -0.9%… So stock futures are higher. Weekly Jobless Claims fell, erasing some of last week’s spike higher. Intel (off $1.48) with revenue warning before the open. Traders talking about glut of Crude in US, running out of storage space waiting for higher prices. FED approved 29/31 major banks capital plans helps that sector this morning. Volatility as an asset class:
Volatility has increased for currencies as the euro trades near a 12-year low.
Euro Currency Trust (FXE) is recently up 99c to $104.66 in the premarket. Overall option implied volatility of 12 compares to its 26-week average of 10.
CurrencyShares Swiss Franc (FXF) overall option implied volatility of 16 compares to its 26-week average of 10.
CurrencyShares British Pound Sterling Trust (FXB) overall option implied volatility of 10 compares to its 26-week average of 7.
CurrencyShares Australian Dollar Trust (FXA) overall option implied volatility of 12 compares to its 26-week average of 10.
CurrencyShares Canadian Dollar Trust (FXC) overall option implied volatility of 10 compares to its 26-week average of 8.
CBOE EuroCurrency ETF Volatility Index (EVZ) at 14.09 compared to its 10-day moving average of 11.13 www.cboe.com/EVZ
Equity Options Volume @ CBOE; 872,647 calls, 580,798 puts, 1,453,445 total cboe.com
CBOE Crude Oil Volatility Index (OVX) at 49.17 compared to its 50-day moving average of 55.17 WTI Crude oil near $49. CBOE.com/OVX
Options expected to be active @ CBOE: MW MS AXP C BAC JPM UTX BOX
CBOE S&P 500 Skew Index (SKEW) at 123.72 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 @ 661.90: www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1073.26, compared to its 50-day moving average of 1080.41 cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 264.64, compared to its 50-day moving average of 264.90. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 18.42, compared to its 50-day moving average of 17.91
CBOE 3-Month Volatility Index (VXV) at 18.53, compared to its 50-day moving average of 19.03. cboe.com/VXV
CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.70, compared to its 50-day moving average of 15.84.
VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) down 61c to 38.82, compared to 50-day moving average of 42.53.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 46c to 28.77
CBOE Volatility Index (VIX) at 16.87, compared to its 50-day moving average of 17.07 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 67c to $205.16 as the euro eased after falling to fresh 12-year lows against the dollar.
Calls with increasing volume at CBOE Wednesday:
C 3/13/2015 53 20K contracts
AAPL 3/13/2015 124 13K
BAC 3/13/2015 16.50 13K
GLD 9/18/2015 145 10K
SPY 5/15/2015 217 10K
FIG 3/20/2015 6.52 8K