Blogging Options: CBOE Morning Update 10.1.14

ADP Private Job Report showed a growth of 213K jobs in August, slightly above last month’s 203K jobs. BLS Employment Report Friday the big number to watch this week.  Traders talking about fat-finger trade in Japan, most of which was cancelled.  17mm options change hands yesterday with CBOE doing ~4,7mm.  SPX traded 800K, volume fell off slightly in VIX to ~340K.  CBOE did 25K of 110K in BABA options.  JNJ & EBAY downgraded before opening.  10-year descends towards 2.45%, as stock futures soften.   Volatility as an asset class:

A patient being treated at a Dallas hospital has tested positive for Ebola confirms the CDC, a disease that has killed 3,000 people in West Africa.

Companies that are developing treatments for the Ebola virus include have mixed option implied volatility.

Tekmira (TKMR) overall option implied volatility of 89 compares to its 24-week average of 97.

Sarepta (SRPT) overall option implied volatility of 68 compares to its 26-week average of 67.

BioCryst (BCRX) overall option implied volatility of 88 compares to its 26-week average of 85.

Options expected to be active @ CBOE: TKMR SRPT BCRX ANGI DAL UAL AAL LUV JBLU LUV SAVE ALGT ALK

CBOE S&P 500 Skew Index (SKEW) at 127.73, compared to its 50-day moving average of 132.05. 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 1088.24 compared to its 10-day moving average of 1096.50 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.82 compared to its 50-day moving average of 268.48 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.26; compared to its 50-day moving average of 14.48.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.76, compared to its 10-day moving average of 13.90. 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 13c to 31.04.

CBOE Volatility Index (VIX) at 16.31, compared to its 10-day moving average of 14.14 and its 50-day moving average of 13.41 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.39 to $196.63 on negative headlines from around the world.

Calls with increasing volume at CBOE:

SPY      9/30/2014 198  22K contracts
EWZ  11/22/2014   54   18K
PBR  12/20/2014    18   15K
INTC 10/18/2014    36  14K
FXI      10/3/2014 38.50 12K
IWM   1/17/2015  120   11K
QQQ 11/22/2014   99   11K
IWM    9/30/2014 110   11K