Stocks look flat on the opening, as CPI and Core Rate each rise 0.2%. McCormick (MKC) beat estimates, looks to open higher by 4%. NFLX could help NASDAQ. Overseas markets modestly higher. 10-year 1.904. Housing numbers released after the opening, expected higher. Volatility as an asset class:
Chesapeake (CHK) is up $0.44 to $14.55 in the preopen on Carl Icahn disclosing an increased stake in the company to 73M shares (10.98%), up from 66M shares (9.98%) in December. March weekly call option implied volatility is at 48, April is at 44, July is at 47; compared to its 26-week average of 41.
Whiting Petroleum (WLL) is indicated down $7 to $31.39 on offering of 35M shares of common stock. April call option implied volatility is at 77, May is at 74; compared to its 26-week average of 49.
Sonus (SONS) closed at $13.16 into cutting its Q1 revenue view to $47M-$50M from $74M. Overall option implied volatility of 46 compares to its 26-week average of 48.
CBOE Crude Oil Volatility Index (OVX) at 49.32 compared to its 50-day moving average of 55.19, WTI Crude oil near $47. CBOE.com/OVX
Equity Options Volume @ CBOE; 907,438 calls, 503,796 puts, 1,411,234 total cboe.com
Options expected to be active @ CBOE: WLL CHK SONS RHT LULU BBRY OCN FB TSLA
CBOE S&P 500 Skew Index (SKEW) at 127.12. 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 @ 682.45 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1108.60, compared to its 50-day moving average of 1083.51. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 272.01, compared to its 50-day moving average of 265.76. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 14.44, compared to its 10-day moving average of 16.26
CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.03, compared to its 50-day moving average of 15.40.
VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 34.11, compared to 50-day moving average of 41.50.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 7c to 25.17
CBOE Volatility Index (VIX) at 13.41, compared to its 50-day moving average of 16.51 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 44c to $210.44 as activity in China’s factory sector slipped to an 11-month low in March as new orders crumbled, a private survey showed.
Calls with increasing volume at CBOE:
SPY 5/15/2015 228 15K contracts
MSFT 5/15/2015 44 8K
APC 8/21/2015 95 8K
AAPL 3/27/2015 130 7K
Puts with increasing volume at CBOE:
UUP 3/27/2015 25.50 20K contracts
VXX 4/17/2015 22 19K
SPY 4/17/2015 196 12K
IWM 4/17/2015 115 7K
SPY 5/15/2015 171 7K
QQQ 3/27/2015 108.50 6K