Blogging Options: CBOE Morning Update 3.23.15

Stocks bouncing around unchanged this morning, as 3″ of snow greet Chicago commuters.  Oil prices down again, but be aware that front month crude changes months today.  Biogen downgraded before opening. NCAA tourney gets high marks for exciting games this past weekend. Volatility as an asset class:

Global X FTSE Greece 20 ETF (GREK) closed at $10.75 into meeting between the leaders of Greece and Germany to resolve debt issues. Overall option implied volatility of 68 compares to its 26-week average of 58.

Yahoo (YHOO) is up 11c to $45.14 in the preopen on its price target lowered to $61 from $66 at BofA/Merrill  to reflect a lower valuation for the Alibaba (BABA) stake.  March weekly call option implied volatility is at 27, April is at 24, May and July is at 27; compared to its 26-week average of 35.

Alibaba (BABA) is down 20c to $85. March weekly call option implied volatility is at 34, April is at 36, May is at 29, July is at 28; compared to its 26-week average of 34.

CBOE Crude Oil Volatility Index (OVX) at 50.84 compared to its 50-day moving average of 55.22, WTI Crude oil near $45. CBOE.com/OVX

Equity Options Volume @ CBOE; 1,319,315 calls, 756,553 puts, 2,075,868 total cboe.com

Options expected to be active @ CBOE:  GILD PBR LULU THC BIIB NVDA NBG GREK

CBOE S&P 500 Skew Index (SKEW) at 131.09. 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 @ 683.65 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1108.67, compared to its 50-day moving average of 1082.94. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 271.93, compared to its 50-day moving average of 265.64.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.82, compared to its 50-day moving average of 15.46

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.73, compared to its 50-day moving average of 15.46.

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

Velocity Share VIX Short Term ETN (VIIX) at 34.72, compared to 50-day moving average of 41.65.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 25.72

CBOE Volatility Index (VIX) at 13.02, compared to its 50-day moving average of 16.58 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.13 to $210.28 as investors watch a meeting between the leaders of Greece and Germany.

Calls with increasing volume at CBOE:

SPY      4/17/2015   218   99K contracts
MNKD 1/15/2016  3.50   20K
EEM     3/20/2015  39.50 18K
AAPL    3/20/2015   128   16K

Puts with increasing volume at CBOE:

SPY      4/17/2015 204 31K contracts
MNKD 3/20/2015   10 20K
XLF       6/19/2015   23 18K
VXX       4/17/2015   29 17K
IWM      3/31/2015 120 10K
FXY        6/19/2015   84 10K