Blogging Options: CBOE Morning Update 9.30.14

Window Dressing Day.  EBay and PayPal hog the spotlight this morning and shift focus to tech stocks.  Hong Kong shares off another 1.25% on continued unrest.  BABA options got off to a good start with CBOE trading over 33k of 122k contracts.  Average option volume day yesterday, but VIX futures traded 228k.   Case-Shiller Home Prices far under expectations. Volatility as an asset class:

eBay (EBAY) is up $5.20 to $57.95 in the premarket on PayPal being separated into a new company. October weekly call option implied volatility is at 29, October is at 32, November is at 29, January is at 26; compared to its 26-week average of 26.

Ford (F) is trading down 16c to $14.95 in the premarket a day after lowering its profit target for year.  October weekly call option implied is at 60, October is at 28, November and December is at 27 and January is 25; compared to its 26-week average of 22.

Move, Inc. (MOVE) is up $5.66 to $20.95 in the premarket on News Corp (NWS) acquiring the operator of Australian residential property website, for $950M, $21 per share. Overall option implied volatility of 43 is below its 26-week average of 52.

Options expected to be active @ CBOE: EBAY BABA F AA MBLY DFS MA V COF AXP GDOT AXP

CBOE S&P 500 Skew Index (SKEW) at 131.66, compared to its 50-day moving average of 132.27. 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 1090.98 compared to its 10-day moving average of 1098.50 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 267.22 compared to its 50-day moving average of 268.56 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.03; compared to its 50-day moving average of 14.40.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.11, compared to its 10-day moving average of 13.55. 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 23c to 30.59.

CBOE Volatility Index (VIX) at 15.98, compared to its 10-day moving average of 13.55 and its 50-day moving average of 12.95 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 41c to $197.98 after Pro-democracy rallies in Hong Kong have created a challenge for China’s president, Xi Jinping.

Calls with increasing volume at CBOE:

F 10/18/2014 16.50 20K
EEM 12/20/2014 43 20K
SPY 9/30/2014 198 13K
VXX 10/18/2014 40 10K
AAPL 10/3/2014 100 9K

Puts with increasing volume at CBOE:

IWM 10/18/2014 112 17K contracts
SPY 6/19/2015 150 17K
AAPL 10/3/2014 100 12K
BAC 10/18/2014 17 12K