Blogging Options: CBOE Morning Update 4.2.15

Weekly Claims drop, yields still falling this morning along with Oil prices.  Trade Deficit below estimates.  Factory Orders later this morning.  Lumber Liquidators up 3% as monthly sales after CBS report not hurt as much as expected.  Traders will probably square their books early today as long weekend upon us.  Monthly NFP will be released at regular time tomorrow morning – Good Friday only trading Holiday not a national holiday. Volatility as an asset class

Micron (MU) is up $0.27c to $27.90 in the preopen after the memory chip company’s outlook for Q3 came in lower than expected.  April weekly call option implied volatility is at 154, April is at 62, May is at 43, July is at 37; compared to its 26-week average of 39.

Carmax (KMX) is up $2.87 to $71.30 after reporting Q4 EPS 67c, compared to consensus 60c. April call option implied volatility is at 45, May is at 31, July is at 28; compared to its 26-week average of 30.

Repros Therapeutics (RPRX) is up $1.91 to $10.40 in the preopen after announcing acceptance for filing of NDA its enclomiphene citrate product. April call option implied volatility is at 144, May is at 108, August is at 107; compared to its 26-week average of 103.

CBOE Crude Oil Volatility Index (OVX) at 50.728; compared to its 50-day moving average of 54.62, WTI Crude oil near $50. CBOE.com/OVX

Equity Options Volume @ CBOE; 761,303 calls, 580,431 puts, 1,341,734 total cboe.com

Options expected to be active @ CBOE:  KMX MU SEAC LL RPRX RIG TSLA RIG

CBOE S&P 500 Skew Index (SKEW) at 120.76. 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 @ 672.20 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1094.66, compared to its 10-day moving average of 1099.61. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 267.92, compared to its 50-day moving average of 266.68.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.35, compared to its 10-day moving average of 15.99

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.29, compared to its 50-day moving average of 14.62. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 34.53, compared to its 50-day moving average of 39.81.

iPath S&P 500 VIX Short-Term Futures (VXX) at 25.54, compared its 50-day moving average of 29.30

CBOE Volatility Index (VIX) at 15.11, compared to its 50-day moving average of 15.75 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.30 cboe.com

SPDR S&P 500 ETF Trust (SPY) is down 53c to $205.17 as the markets prepare for the monthly U.S. jobs report on Friday for clues on monetary policy. The figures will follow yesterday’s weaker-than-estimated data on hiring and manufacturing, which fueled speculation that the U.S. economy is slowing and bolstered the case for keeping interest-rates lower for longer.

Calls with increasing volume at CBOE:

SPY  4/10/2015  210  28K contracts
JCP   4/17/2015      9  18K
AAPL  4/2/2015 126  12K

Puts with increasing volume at CBOE:

PBR  7/17/2015       5     65K contracts
SPY   4/10/2015   205    23K
XLU   5/15/2015  39.00 21K