Blogging Options CBOE Morning Update 3.30.15

Average option volume day on Friday  with 13.3mm contracts trading.  SPX had 890K trade, VIX had volume of 350K and VIX Futures came in with 120K trading.  Traders watching Iran negotiations, European shares higher.  March Spending up 0.1%, Personal Income higher by 0.4% (Spending a slight miss, Income a beat).   MSG to split into two companies.  End of Quarter tomorrow, Friday a trading holiday and March Jobs report will be released Friday morning.  Good NCAA Tourney so far.  Volatility as an asset class:

Catamaran Corporation (CTRX) is up $12 to $60.32 in the preopen on UnitedHealth’s (UNH) OptumRX acquiring for $61.50 per share in cash. Overall option implied volatility of 30 compares to its 26-week average of 31.

Altera (ALTR) is up $0.50 to $44.89 after the Wall Street Journal reported Friday that Intel (INTC) is in advanced talks to acquire the company.  April call option implied volatility is at 64, June is at 39; compared to its 26-week average of 26.

Apple (AAPL) is up $1 to $124.26 in the preopen. April weekly call option implied volatility is at 29, April is at 27, May is at 32, June is at 29; compared to its 26-week average of 26.

VIX methodology for Apple (VXAPL) at 32.17, compared to 10-day MA of 27.27.

CBOE Crude Oil Volatility Index (OVX) at 52.84 compared to its 50-day moving average of 54.93, WTI Crude oil near $48. CBOE.com/OVX

Equity Options Volume @ CBOE; 789,359 calls, 625,401 puts, 1,414,760 total cboe.com

Options expected to be active @ CBOE:  ALTR INTC CTRX UNH BBY

CBOE S&P 500 Skew Index (SKEW) at 121.80. 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 @ 672.50 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1093.96, compared to its 50-day moving average of 1085.31. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.88, compared to its 50-day moving average of 266.17.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.89, compared to its 10-day moving average of 15.78

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.69, compared to its 50-day moving average of 15.08. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 34.79, compared to its 50-day moving average of 40.64.

iPath S&P 500 VIX Short-Term Futures (VXX) at 25.22, compared its 50-day moving average of 29.85

CBOE Volatility Index (VIX) at 15.07, compared to its 50-day moving average of 16.12 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.41 cboe.com

SPDR S&P 500 ETF Trust (SPY) is up $1.01 to $206.75 as oil fell for the second day.

Calls with increasing volume at CBOE:

MSFT  4/17/2015    46  20K contracts
AAPL   3/27/2015  124 14K
SPY      3/27/2015  206 14K
XLP        4/2/2015    49    9K
USO    4/17/2015    18    9K