Blogging Options: CBOE Morning Update 3.17.15

Top ‘o the mornin to ya.   Oil hit $42.65 this morning (Brent approaching $53), as traders contemplate an additional 800K barrel’s of Oil per day arriving after Iran Nuke deal.  Housing Starts fell 17%, lowest print in 18 months.  Weather blamed again, but Starts in West fell 18.2%.  How this affects FED meeting unclear.  Early election results in Israel expected near NY close.  European stocks lower, Asia mixed.  10-year yield drops below 2.06%.  Almost 14 K VIX Futures trade in extended session.  AAPL said to be considering on-line service starting in the Fall.  A trader asked me yesterday “With as many trading holidays as we have, how come no St. Patty’s day off”?  Good question.   Volatility as an asset class:

Credit and debit vehicle funds option implied volatility is elevated into the FOMC policy meeting decision on March 18.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) March call option implied volatility is at 46, April is at 32, May is at 31, June is at 29; compared to its 26-week average of 26.

IShares Barclay 20+ YR Treasury ETF (TLT) is down $2.82 to $123.48. March weekly call option implied volatility is at 14, March is at 15, April and May is at 14, compared to its 26-week average of 14.

ProShares UltraShort Lehman 7-10 Yr ETF (PST) over all option implied volatility of 18 compares to its its 26-week average of 14.

CBOE Crude Oil Volatility Index (OVX) at 56.81 compared to its 50-day moving average of 55.29 WTI Crude oil near $43.

Equity Options Volume @ CBOE; 798,554 call, 548,211 puts, 1,346,765 total

Options expected to be active @ CBOE:  SNE ADBE ORCL MBLY BURL BABA DSW

CBOE S&P 500 Skew Index (SKEW) at 122.83 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 @ 674.85:

CBOE S&P 500 BuyWrite Index (BXM) at 1092.54

CBOE DJIA BuyWrite Index (BXD) at 268.84

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.29, compared to its 50-day moving average of 17.88

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.78, compared to its 50-day moving average of 15.86. VXST is a market-based gauge of expectations of 9-day

Velocity Share VIX Short Term ETN (VIIX) at 37.44, compared to 50-day moving average of 42.36.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 41c to 27.82

CBOE Volatility Index (VIX) at 15.78, compared to its 50-day moving average of 17.01

SPDR S&P 500 ETF Trust (SPY) is recently down 88c to $207.70 as the FOMC begins its two-day meeting on interest rate policy this morning, with nearly all believing that the Fed will delete the word “patient” from its statement.

Calls with increasing volume at CBOE:
SPY 3/20/2015 213.50 17K contracts
IWM 3/20/2015 123 13K
SLXP 4/17/2015 175 12K
PFE 3/20/2015 32 10K
ASHR 4/17/2015 42 9K
1KO 4/17/2015 41 8K