Blogging Options: CBOE Morning Update 3.16.17

Stock futures higher in pre-open.  Empire State Manufacturing disappointed with a 6.9 print for March (7.9% expected), with New Orders showing a decrease.  Not much economic news expected for the rest of the day.  Oil down 1%, Gold fractionally higher.  Earnings estimates cut for MSFT by a major firm, NFLX (off $7) cut to “Hold” by another.  FED Minutes Wednesday afternoon.  Volatility as an asset class:

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) closed at $47.73 as WTI crude oil trades at a six-year low. Overall option implied volatility of 39 compares to its 26-week average of 38.

CBOE Crude Oil Volatility Index (OVX) at 54.56 compared to its 50-day moving average of 55.16 WTI Crude oil below $45. CBOE.com/OVX

Euro Currency Trust (FXE) closed at $103.08 as euro trends lower. Overall option implied volatility of 14 compares to its 26-week average of 10.

CBOE EuroCurrency ETF Volatility Index (EVZ) at 14.23 compared to its 10-day moving average of 11.86 www.cboe.com/EVZ

MSCI Brazil Index (EWZ) closed at $29.31 as index trades near six-year low. March call option implied volatility is at 61, April is at 43, June is at 37; compared to its 26-week average of 34.

VIX methodology for iShares MSCI Brazil Index Fund (VXEWZ) at 40.17, 50-day MA of 35.66 cboe.com/VXEWZ
Equity Options Volume @ CBOE; 884,064 calls, 706,676 puts, 1,590,740 total cboe.com

Options expected to be active @ CBOE:  RSX ORCL FDX BP DD AAPL NFLX VIX

CBOE S&P 500 Skew Index (SKEW) at 120.60 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 @ 665.90: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1080.52, compared to its 50-day moving average of 1080.29 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.35, compared to its 50-day moving average of 264.95. cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.55, compared to its 50-day moving average of 17.93

CBOE 3-Month Volatility Index (VXV) at 17.90, compared to its 50-day moving average of 19.03. cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.25, compared to its 50-day moving average of 15.91.

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

Velocity Share VIX Short Term ETN (VIIX) at 37.93, compared to 50-day moving average of 42.47.

iPath S&P 500 VIX Short-Term Futures (VXX) is down 35c to 27.75

CBOE Volatility Index (VIX) at 16, compared to its 50-day moving average of 17.08 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 54c to $206.36 as oil trades at a six-year low.

Calls with increasing volume at CBOE Friday included:

AAPL  3/13/2015 125 20K contracts
SPY     3/13/2015 205.50 13K
USO    3/20/2015 17.50 11K
QQQ   3/31/2015 107 10K