Blogging Options: CBOE Morning Update 3.31.15

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