CBOE Mid-Day Update 3.19.15

Fairly heave option volume mid-day as traders and investors digest removal of “patient” from FED comments, which was expected. SPX traded ~700K contracts, while VIX with 200K and VIX Futures 71K.  Sounds of basketballs bouncing reverberate around trading floors and desks across the US.  GS down $2, PCLN lower by $6.  Volatility as an asset class:  (We’ll miss you Gail Osten – Those we held in our arms for a little while, we hold in our hearts forever).

Facebook (FB) is up $1.90 to $82.83 after shares traded at fresh life high of $82.88. March weekly call option implied volatility is at 25, April is at 23, May is at 30; compared to its 26-week average of 32.

Lennar (LEN) is down $0.81 to $48.91 after reporting an increase in Q1 deliveries and prices. March call option implied volatility is at 41, April is at 26, May is at 25; compared to its 26-week average of 31.

Nucor (NUE) is down $3.38 to $45.92 after the steel company cut its Q1 EPS guidance to 10c-15c, compared to consensus 40c. March weekly call option implied volatility is at 31, April is at 28, May is at 26; compared to its 26-week average of 25.

CBOE Crude Oil Volatility Index (OVX) is up 0.6% to 53.96 compared to its 50-day moving average of 55.27 as oil trades near its lowest level since March of 2009.  CBOE.com/OVX

CBOE Interest Rate 5 Year Note (FVX) is up 2.9% to 14.62 a day after the Fed dropped its pledge to “be patient”.

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3% to 23.80 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA TWTR FB AMAT C GILD BAC NFLX

Options with increasing volume @ CBOE: RAD FOLD RTRX CFG ROVI PII NUE WSM TIF CTAS GES

CBOE Volatility Index (VIX) up 3.7% to 14.49, high 14.97, low 14.03, April 22 and 26 calls are active on total volume of 156K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is up 1.3% to 26.49.

CBOE S&P 500 Short-Term Volatility Index (VXST) is up 1% to 13.99; compared to its 50-day moving average of 15.81. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.2% to 269.63 compared to its 50-day moving average of 265.46 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.5% to 208.90 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) down 4.90 to 915.08 a day after the Fed 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.