Blogging Options: CBOE Morning Update 3.27.15

Q4 GDP Final showed a 2.2% increase, less than the 2.4% consensus.  Q1 GDP first estimate due in five weeks, early consensus shows a drop to 1.5% rise.  Oil fell overnight as mid-east war did not escalate, Dollar higher.  DOW with spinoff, EMC downgraded.  Overseas markets mixed with NIKKEI closing down ~1%.  U of M Sentiment due 30-minutes into trading day.  Good games last night in NCAA Tourney. Volatility as an asset class:

BlackBerry (BBRY) closed at $9.30 into reporting a Q4 profit on a larger than expected sales decrease.  March weekly call option implied volatility is at 185, April is at 72, May is at 61, June is at 57; compared to its 26-week average of 54.

Restoration Hardware (RH) is down $4.14 to $89 in the preopen after the retailer of luxury home goods issued disappointing guidance, citing in part the disruption caused by the West Coast port congestion. April call option implied volatility is at 49, May is at 39, August is at 37; compared its 26-week average of 42.

GameStop (GME) is down $2.25 to $36.54 in the preopen reporting a larger than expected revenue decrease and lower than expected guidance. March weekly call option implied volatility is at 190, April is at 52, May is at 41, July is at 35; compared to its 26-week average of 43.

CBOE Crude Oil Volatility Index (OVX) at 49.58 compared to its 50-day moving average of 54.94, WTI Crude oil near $50. CBOE.com/OVX

Equity Options Volume @ CBOE; 994,232 calls, 581,586 puts, 1,575,818 total cboe.com

Options expected to be active @ CBOE:  GME RH YHOO BBRY CCL FINL

CBOE S&P 500 Skew Index (SKEW) at 122.86. 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 @ 671.75 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1091.12, compared to its 50-day moving average of 1084.72. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.29, compared to its 50-day moving average of 266.03.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.50, compared to its 10-day moving average of 15.84

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.92, compared to its 50-day moving average of 15.21.

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

Velocity Share VIX Short Term ETN (VIIX) at 35.24, compared to its 50-day moving average of 40.99.

iPath S&P 500 VIX Short-Term Futures (VXX) at 26.12, compared its 50-day moving average of 30.08

CBOE Volatility Index (VIX) at 15.80, compared to its 50-day moving average of 16.25 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.20 cboe.com

SPDR S&P 500 ETF Trust (SPY) is down 17c to $205.10 as oil falls to $50 as Middle East supply concerns ease.

Calls with increasing volume at CBOE:

SPY     3/31/2015  208   16K contracts
QQQ     4/2/2015  107   16K
AAPL  3/27/2015  125   13K
GLW 11/20/2015    27   11K
RAD    4/17/2015      9   11K
AAPL   3/27/2015 124   10K
IWM    4/17/2015 123.50 10K
C          6/19/2015 57.50  9K