Blogging Options: CBOE Morning Update 3.13.15

Oil prices the big story this morning, as WTI falls 2% to ~$46.  PPI in February dropped a surprising 0.5%, food prices were the main component, falling 1.6%.  Stock Futures  weak.  Talk of the floor this morning was Will Farrell playing 9 positions and DH for 10 MLB teams in Spring Training yesterday, raising over $1 million for two cancer charities.  It will be a TV special in the fall.  Volatility as an asset class:

Ulta Salon (ULTA) is up $12.68 to $157.50 in the preopen on better than expected Q4 results and outlook. March call option implied volatility is at 77, April is at 42 and June is at 36; compared to its 26-week average of 37.

Mobileye (MBLY) is up $1.63 to $42 after Goldman upgraded the developer of driver assistance systems to Buy from Neutral and maintained its $50 price target to reflect valuation and strong execution. Goldman said Mobileye offers credible exposure to the fast growing assisted driving market, disruptive technology and strong revenue and earnings growth.  Overall option implied volatility 47 compares to its 26-week average of 54.

El Pollo Loco (LOCO) is up $2.15 to $26.15 in the preopen on better than expected Q4 results and outlook. March weekly call option implied volatility is at 158, March is at 72, April is at 49, June is at 47; compared to its 26-week average of 45.

CBOE EuroCurrency ETF Volatility Index (EVZ) at 13.53 compared to its 10-day moving average of 11.46 www.cboe.com/EVZ

Equity Options Volume @ CBOE; 947,977 calls, 618,462 puts, 1,566,439 total cboe.com

CBOE Crude Oil Volatility Index (OVX) at 49.59 compared to its 50-day moving average of 55.09 WTI Crude oil near $47. CBOE.com/OVX

Options expected to be active @ CBOE:  HLF ANN ULTA LOCO ARO MBLY

CBOE S&P 500 Skew Index (SKEW) at 121.53 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 @ 670: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1085.46, compared to its 50-day moving average of 1080.38 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.76, compared to its 50-day moving average of 264.94. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.14, compared to its 50-day moving average of 17.92

CBOE 3-Month Volatility Index (VXV) at 17.39, compared to its 50-day moving average of 19.03. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.04, compared to its 50-day moving average of 15.89.

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

Velocity Share VIX Short Term ETN (VIIX) at 37.15, compared to 50-day moving average of 42.50.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 14c to 27.34

CBOE Volatility Index (VIX) at 15.42, compared to its 50-day moving average of 17.08 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 8c to $207.18 into next week’s FOMC policy meeting.

Calls with increasing volume at CBOE:

AAPL  3/13/2015  125 16K contracts
EWJ     3/20/2015   12 11K
INTC   1/15/2016   30 10K
MRK    4/17/2015   60  9K
PEP     4/17/2015 105  8K
BAC    3/13/2015   16   7K