Blogging Options: CBOE Morning Update 4.6.15

First full trading day in US after abysmal Jobs print Friday.  S&P futures off 13, Russell by 10, DJIA futures lower by 120 points. Gold and Oil up, 10-year near 1.84%.  VIX futures volume on lighter-side in early session.  Much of European markets closed this morning, as Easter a 4-day weekend for many.  FED’s Dudley with innocuous comments about FED’s future actions, ISM Service Sector released later this morning.  Duke – Wisconsin tonight. Volatility as an asset class

Euro Currency Trust (FXE)  is recently up $1.06 to $10.8.05 in the preopen after Friday’s March non-farm payroll data April weekly call option implied volatility is at 16, April is at 15, May is at 14, June is at 13; compared to its 26-week average of 11.

PowerShares DB US Dollar Index Up (UUP) April weekly call option implied volatility is at 18, April is at 14, May is at 13, June is at 12; compared to its 26-week average of 9.

PowerShares DB US Dollar Index Down (UDN) April call option implied volatility is at 12, June is at 11; compared to its 26-week average of 10.

CBOE EuroCurrency ETF Volatility Index (EVZ) at 13.50 compared to its 50-day MA of 12.39  www.cboe.com/EVZ

CBOE Crude Oil Volatility Index (OVX) at 49.84; compared to its 50-day moving average of 54.51, WTI Crude oil near $50. CBOE.com/OVX

Equity Options Volume @ CBOE; 756,875 call, 611,739 puts, 1,368,614 total cboe.com

Options expected to be active @ CBOE: TSLA WBAI HLF BAC PBR LL

CBOE S&P 500 Skew Index (SKEW) at 119.92. 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 @ 673.15 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1098.22, compared to its 10-day moving average of 1099.55. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 268.82, compared to its 50-day moving average of 266.81.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.71, compared to its 10-day moving average of 16.20

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.91, compared to its 50-day moving average of 14.49. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 33.84, compared to its 50-day moving average of 39.58.

iPath S&P 500 VIX Short-Term Futures (VXX) at 25.57, compared its 50-day moving average of 29.18

CBOE Volatility Index (VIX) at 14.67, compared to its 50-day moving average of 15.67 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.33 cboe.com

SPDR S&P 500 ETF Trust (SPY) is recently down 1.34 to $205.09 after Friday’s non-farm payroll data which trailed even the most pessimistic forecast.

Calls with increasing volume at CBOE:

EEM   5/15/2015    43     17K contracts
SPY      4/2/2015 206.50 14K
AAPL   4/2/2015 126      13K
XHB   4/17/2015 37.50  12K
GDX     4/2/2015   19       9K
PBR    6/19/2015     8       9L
C         4/10/2015 52.50   7K