Blogging Options: CBOE Morning Update 9.16.14

Producer Prices were flat in August, as expected.  Markets up fractionally in first half-hour of trading.  YHOO off $0.45 as most aware they own ~22% of BABA shares.   Volatility as an asset class:

Currency option implied volatility increases into Scotland voting for independence

CurrencyShares British Pound Sterling Trust (FXB) overall option implied volatility of 12 is above its 26-week average of 8.
CurrencyShares Australian Dollar Trust (FXA) overall option implied volatility of 9 is above its 26-week average.

CurrencyShares Swiss Franc Trust (FXF) overall option implied volatility of 8 is at its 26-week average.

CurrencyShares Canadian Dollar Trust (FXC) overall option implied volatility of 11 is above its 26-week average of 8.

CurrencyShares Japanese Yen Trust (FXY) overall option implied volatility of 6 is below its 26-week average of 8.

Euro Currency Trust (FXE) overall option implied volatility of 8 is at its 26-week average of 8.

Wisdom Tree Dreyfus Chinese Yuan Fund (CYB) overall option implied volatility of 10 is at its 26-week average.

Options expected to be active @ CBOE: YHOO TSLA HUM ADBE FDX ORCL

CBOE Interest Rate 5 Year Note (FVX) @ 17.95, above 50-day MA is 16.70 into two-day FOMC meeting

CBOE SKEW INDEX (SKEW) at 127.09, compared to its 50-day MA of 132.65. 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 1106.56 compared to its 10-day moving average of 1106.64 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 270.51 compared to its 50-day moving average of 268.70 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.19; compared to its 50-day moving average of 14.03.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.27, compared to its 10-day moving average of 12.19. 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 up 20c to 28.56.

CBOE Volatility Index (VIX) at 14.12, compared to its 10-day moving average of 12.86 and its 50-day moving average of 13. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up fractionally into the start of the two-day Federal Open Market Committee meeting

Calls with increasing volume at CBOE Monday:

EEM  12/20/2014  49 15K contracts
SPY     9/20/2014 200 14K
AA       1/17/2015  19  12K
AAPL  9/20/2014 103 10K
MCD 10/18/2014  95 10K
BAC    1/17/2015  17   8K