Blogging Options: CBOE Morning Update 3.19.15

AAPL goes into the DJIA at today’s opening.  Oil off over 3% in early trade, Kuwait comments about production levels keeping steady, even as demand lags.  Dollar higher vs. Euro.  Weekly Claims in line, Stocks expected to give back some of yesterday’s gains.  EBAY downgraded preopen.  10-year 1.93%.  Get your NCAA brackets completed,  games begin in 2 hours.  Volatility as an asset class:

Silver Wheaton (SLW) is down 1c to $19 in the premarket after reporting less than expected Q4 EPS and revenue. March call option implied volatility of 47, April is at 38, June and September is at 37; compared to its 26-week average of 40.

Williams-Sonoma (WSM) is down $2.20 to $78.20 after reporting in-line Q4 results and light guidance. March call option implied volatility is at 122, April is at 37, May is at 28, August is at 27; compared to its 26-week average of 27.

Guess? (GES) is up $1.52 to $18.25 in the premarket on better than expected Q4 results and guidance. March call option implied volatility is at 167, April is at 55, June is at 43, September is at 38; compared to its 26-week average of 36.

CBOE Crude Oil Volatility Index (OVX) at 53.65 compared to its 50-day moving average of 55.32, WTI Crude oil near $43. CBOE.com/OVX

Equity Options Volume @ CBOE; 979,088 calls, 639,101 puts, 1,618,189 total cboe.com

Options expected to be active @ CBOE:  LEN WSM NKE GES TIF

CBOE S&P 500 Skew Index (SKEW) at 128.51. 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 @ 680.70 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1100.11, compared to its 50-day moving average of 1081.38. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 270.20, compared to its 50-day moving average of 265.27.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.99, compared to its 50-day moving average of 17.71

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.85, compared to its 50-day moving average of 15.75.

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

Velocity Share VIX Short Term ETN (VIIX) at 35.27, compared to 50-day moving average of 42.06.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 8c to 26.21

CBOE Volatility Index (VIX) at 13.97, compared to its 50-day moving average of 16.84 cboe.com/VIX

CBOE VIX futures April @ 16.65 July @ 18.24 September @ 18.75 November @ 19.10 $VIX @ 13.97

SPDR S&P 500 ETF Trust (SPY) is down 6c to $210.40 a day after the Fed dropped its pledge to “be patient” as it considers raising rates, but also slightly downgraded its economic outlook. The central bank said it has not decided on the timing of the initial rate increase, noting that an increase in the target range for the federal funds rate “remains unlikely” at the April FOMC meeting.

Calls with increasing volume at CBOE:

SPY   3/20/2015 209.50 40K contracts
QQQ 3/20/2015 108      21K
MSFT 4/17/2015  46      17K
CLF    5/15/2015     6      17K
AAPL 3/20/2015 128      15K

Puts with increasing volume at CBOE:

SPY 3/20/2015 204.00 32K contracts
VXX 3/20/2015   26    15K
XLU 3/20/2015   45    11K
WU 5/15/2015   18    10K