Blogging Options: CBOE Morning Update 3.24.15

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