Blogging Options: CBOE Morning Update 9.5.14

August Non-Farm Payroll fell to 142K, far below the 200K + estimates.  The Unemployment Rate dropped from 6.2% to 6.1%.  The gain of 142K jobs was the smallest rise in 2014.  Stock Futures were off before the report but rallied back to unchanged, as some traders think this may give pause to the FED on increasing rates soon.  CBOE Risk Management Conference Europe wraps up this afternoon.  Volatility as an asset class:

BP (BP) is up $0.39 to $45.28 in the premarket after Citigroup raised its rating on the oil conglomerate to Buy from Neutral, saying the sell-off yesterday after a judge found the company grossly negligent for the Macondo spill presents a buying opportunity. September option implied volatility is at 21, October is at 18, November is at 17; compared to its 26-week average of 15.

Ciena (CIEN) is up $0.42 to $18.93 after the telecom equipment maker was upgraded by Goldman Sachs to Buy citing valuation, following the company’s Q3 results. Goldman has $26 price target for the shares. September call option implied volatility is at 35, October is at 37, January is at 38; compared to its 26-week average of 43.

Gap (GPS) is down $3.08 to $43.51 in the premarket following disappointing August comps. Overall option implied volatility of 23 is below its 26-week average of 26.

VIX methodology for Apple (VXAPL) is at 30.79, above its 10-day moving average of 26.46 into a company sponsored September 9th event. CBOE.com/VXAPL

CBOE Interest Rate 5 Year Note (FVX) at 17.14, compared to 10-day moving average of 16.59, 50-day MA of 16.57 into August job report.

Options expected to be active @ CBOE:  KORS TUMI TASR GPS LOCO BP AAPL TSLA GLD BLOX COO

CBOE SKEW INDEX (SKEW) at 130.14, compared to its 50-day MA of 133.37. 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 BuyWrite Index (BXM) at 1106.08 compared to its 10-day moving average of 1104.84 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.06 compared to its 50-day moving average of 268.30 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.78; compared to its 50-day moving average of 13.70.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.83, compared to its 10-day moving average of 10.37. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 18c to 27.77

CBOE Volatility Index (VIX) closed at 11.80, compared to its 10-day moving average of 10.47 and its 50-day moving average of 12.22. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.16 to $199.95 as Ukrainian peace talks began as fighting continues.

Calls with increasing volume at CBOE:
SPY      9/5/2014  202.50 23K contracts
AAPL   9/5/2014  100    20K
VXX 10/10/2014    36    10K

Puts with increasing volume at CBOE:
SPY  9/20/2014  190   94K contracts
IWM 9/20/2014  113  15K
AAPL  9/5/2014    98  11K