Blogging Options: CBOE Morning update 3.25.15

Chicago (Northfield) based Kraft joins Warren Buffett’s conglomerate, see below.  “Synergies” = possible layoffs, we’ll see.  February Durables drop 1.4%, +0.2% expected.  Most of the components looked awful.  January Durable Goods revised sharply lower. Relationship to positive Housing Starts yesterday and revised Q1 GDP will be discussed on trading desks today.  10-year 1.86%.  Volatility as an asset class

Kraft Foods (KRFT) is up $18.60 to $80 in the preopen on privately held H.J. Heinz Company and publicly held Kraft Foods Group (KRFT) announcing Heinz shareholders will own a 51% stake in a combined company,  Kraft shareholders with 49% stake and a special cash dividend of $16.50 per share. Together the new company will have eight $1B+ brands and five brands between $500M-$1B.  April option implied volatility is at 15, May is at 19; compared to its 52-week average of 16.

Merck (MRK) is up $0.85 to $59.47 in the preopen after announcing new $10B share repurchase program. Overall option implied volatility of 16 compares to its 26-week average of 19.

Steelcase (SCS) closed at $19.92 into sees Q1 adj. EPS 13c-17c, consensus 15c.  April call option implied volatility is at 41, May is at 32, July is at 30; compared its 26-week average of 29.

CBOE Crude Oil Volatility Index (OVX) at 47.94 compared to its 50-day moving average of 55.14, WTI Crude oil near $47. CBOE.com/OVX

Equity Options Volume @ CBOE; 751,475 calls, 523,710 puts, 1,275,185 total cboe.com

Options expected to be active @ CBOE:  KRFT MDLZ PEP KO SJM K GIS RHT LULU BBRY MRK

CBOE S&P 500 Skew Index (SKEW) at 126.82. 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 @ 679.30 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1105.02, compared to its 50-day moving average of 1083.91. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 271.14, compared to its 50-day moving average of 265.88.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.62, compared to its 10-day moving average of 15.91

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.24, compared to its 50-day moving average of 15.34.

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

Velocity Share VIX Short Term ETN (VIIX) at 33.97, compared to 50-day moving average of 41.32.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 2c to 25.13

CBOE Volatility Index (VIX) at 13.62, compared to its 50-day moving average of 16.43 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 4c to $208.86 on privately held H.J. Heinz Company and publicly held Kraft Foods Group (KRFT) announced that they have entered into a definitive merger agreement to create The Kraft Heinz Company, forming the third largest food and beverage company in North America.

Calls with increasing volume at CBOE:

RSX    5/15/2015   18 10K contracts
SPLS  5/15/2015   15 10K
C        6/19/2015 57.50 9K
AAPL 3/27/2015 127  8K
SPY    3/27/2015 211  7K
GILD 5/15/2015 110  7K
AAPL 3/27/2015 130  6K
INTC  4/17/2015   36  5K