Oil down ~$1 and European shares lower (FTSE -1.5%, DAX off 1%) set the tone for the last trading day of the quarter. Lots of economic data early this morning. Case-Shiller before the opening, then Chicago PMI and Consumer Confidence. VIX with modest futures trading in early session. Volatility as an asset class
Conn’s (CONN) is down $0.79 to $27.88 in the preopen after the furniture retailer reported Q4 profit fell 44% on a 18% increase in revenue. April call option implied volatility is at 143, May is at 97, July is at 76, October is at 75; compared to its 26-week average of 62.
United States Oil Fund (USO) is down $0.33 to $16.90 as WTI trades below $48. Overall option implied volatility of 45 compares to its 26-week average of 37.
Tesla (TSLA) is up $1.71 to $192.28 in the preopen after Bloomberg reports March China sales rose 130%-150%. April weekly call option implied volatility is at 55, April is at 41, May is at 51, June is at 47; compared to its 26-week average of 45.
VIX methodology for Apple (VXAPL) at 29.95, compared to 10-day MA of 27.70.
CBOE Crude Oil Volatility Index (OVX) at 51.98 compared to its 50-day moving average of 54.82, WTI Crude oil near $48. CBOE.com/OVX
Equity Options Volume @ CBOE; 794,197 calls, 419,926 puts, 1,214,123 total cboe.com
Options expected to be active @ CBOE: CONN TCK RAI LO MON WMT KMX MU
CBOE S&P 500 Skew Index (SKEW) at 122.69. 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 @ 677.70 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1104.84, compared to its 50-day moving average of 1086.31. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 271.07, compared to its 50-day moving average of 266.40. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 16.06, compared to its 10-day moving average of 15.69
CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.31, compared to its 50-day moving average of 14.89. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 33.70, compared to its 50-day moving average of 40.34.
iPath S&P 500 VIX Short-Term Futures (VXX) at 25.40, compared its 50-day moving average of 29.65
CBOE Volatility Index (VIX) at 14.51, compared to its 50-day moving average of 15.96 cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 0.44 cboe.com
SPDR S&P 500 ETF Trust (SPY) is down $1.35 to $206.75 the euro fell for a second day, heading toward a fourth straight quarter of declines, amid concerns Greece will fail to reach an agreement with its European partners to unlock a fresh lifeline.
Calls with increasing volume at CBOE Monday:
SPY 3/31/2015 207 50K contracts
HCP 4/17/2015 42.50 12K
XLP 4/2/2015 49 11K
Puts with increasing volume at CBOE:
SPY 4/10/2015 206 20K contracts
XLP 4/17/2015 47 8K