Blogging Options: CBOE Morning Update 3.26.15

Overseas markets leading stocks lower again today (European shares retreat ~1.4%), as Saudi Arabia sends troops into Yemen.  Oil prices jumped, Bond yields higher.  Several big spreads in VIX Options yesterday.  Volatility as an asset class:

lululemon (LULU) is down $0.66 to $61 (big range in the pre-market) after reported Q4 EPS of $0.78, $0.05 better than the analyst estimates. Revenue for the quarter came in at $602M versus the consensus estimate of $601M. March weekly call option implied volatility is at 104, April is at 56, June is at 43, September is at 36; compared to its 26-week average of 36.

SanDisk (SNDK) is down $10.27 to $71.15 after the flash storage solutions provider said its Q1 revenue will be around $1.3B compared to the $1.4B-$1.4B previously forecasted. Overall option implied volatility of 37 compares to its 26-week average of 31.

Red Hat (RHT) is up $4.05 to $72.50 in the pre-market after reporting Q4 EPS of $0.43, $0.02 better than the analyst estimate of $0.41. April call option implied volatility is at 46, May is at 34, June is at 31, September is at 29; compared to its 26-week average of 31.

CBOE Crude Oil Volatility Index (OVX) at 47.83 compared to its 50-day moving average of 55.03, WTI Crude oil above $51. CBOE.com/OVX

Equity Options Volume @ CBOE; 987,157 calls, 684,767 puts, 1,671,924 total cboe.com

Options expected to be active @ CBOE:  SNDK LULU RHT FIVE ACN BBRY MGA XOM COP HAL SLB

CBOE S&P 500 Skew Index (SKEW) at 122.95. 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 @ 672.85 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1092.94, compared to its 50-day moving average of 1083.94. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.76, compared to its 50-day moving average of 265.90.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.33, compared to its 10-day moving average of 15.81

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.28, compared to its 50-day moving average of 15.29.

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

Velocity Share VIX Short Term ETN (VIIX) at 35.49, compared to 50-day moving average of 41.13.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 67c to 26.94

CBOE Volatility Index (VIX) at 15.44, compared to its 50-day moving average of 16.35 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.57 cboe.com

SPDR S&P 500 ETF Trust (SPY) is recently down $1.32 to $204.44 as WTI oil trades above $51 after Saudi Arabia and its Gulf allies started bombing targets in Yemen as the country slides closer toward civil war.

Calls with increasing volume at CBOE:
QQQ  4/17/2015  110  28K contracts
CLF     4/17/2015       6 20K
SPY     3/31/2015  209 13K
AAPL  3/27/2015  126 12K
IWM   4/17/2015  126 12K
RAD    5/15/2015      8   9K