Happy Triple Witch Friday. Spring officially arrives right after the close today. European debt talks have some optimistic, DAX up 1%. Commodities flat, DRI up $2.50 on good Quarter. For those following the NCAA tournament, Matt Moran from CBOE will post his “Volatility Bracketology” here at the CBOE Hub later this morning, it’s a good one. For those entering picks in an office pool, we heard that less than 0.1% of entrants had the first eight games picked correctly. Ouch. Volatility as an asset class:
Nike (NKE) is higher by $4.68 to $103.01 in the preopen on better than expected Q3 results and outlook. Overall option implied volatility of 31 compares to its 26-week average of 23.
Biogen Idec (BIIB) is up $26.30 to $459.95 after reporting statistically significant data from study of Aducanumab Phase 1b. March call option implied volatility is at 155, March weekly is at 64, April at 43, May is at 41; compared to its 26-week average of 34.
Tiffany (TIF) is down $2.87 to $83.55 in the preopen after reporting Q3 results and saying it facing challenges from global economic uncertainties. March call option implied volatility is at 67, April is at 31, May is at 26, August is at 25; compared to its 26-week average of 26.
CBOE Crude Oil Volatility Index (OVX) at 53.82 compared to its 50-day moving average of 55.27, WTI Crude oil near $43. CBOE.com/OVX
Equity Options Volume @ CBOE; 987,129 calls, 583,905 puts, 1,571,034 total cboe.com
Options expected to be active @ CBOE: BIIB NKE TIF YOKU DRI HON FDX
CBOE S&P 500 Skew Index (SKEW) at 127.95. 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 @ 677.40 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1098.89, compared to its 50-day moving average of 1082.18. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 269.67, compared to its 50-day moving average of 265.46. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.71, compared to its 50-day moving average of 17.57
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.89, compared to its 50-day moving average of 15.60. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 35.28, compared to 50-day moving average of 41.85.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 19c to 25.94
CBOE Volatility Index (VIX) at 14.07, compared to its 50-day moving average of 16.70 cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 0.30
SPDR S&P 500 ETF Trust (SPY) is higher by $0. 98 to $209.66 as WTI Crude oil is steady near $43.
Calls with increasing volume at CBOE:
SPY 6/19/2015 230 52K contracts
COP 4/17/2015 67.50 36K
RAD 4/17/2015 9.00 17K
AAPL 3/20/2015 128 12K
SUNE 4/17/2015 26 10K