Blogging Options: CBOE Morning Update 3.12.15

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