Blogging Options: CBOE Morning Update 10.2.14

Mr. Draghi keeps ECB rates unchanged.  European and Asian shares lower, oil off 1.5%.  US stock futures mixed to lower after getting hit hard yesterday.  22K VIX Futures change hands in early session after 250K trade yesterday.  US September employment report tomorrow. Volatility as an asset class:

CBOE Crude Oil Volatility Index (OVX) at 22.38, above 50-day moving average of 18.59. WTI Crude oil trades below $92. CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) @ 22.45, above 50-day moving average of 17.16. cboe.com/micro/VIXETF/VXXLE/

Energy Select Sector SPDR (XLE) October call option implied volatility is at 22, November and December is at 20; compared to its 26-week average of 15.

Oil Services Holders Trust (OIH) October weekly call option implied volatility is at 49, October is at 26, November is at 24, January is at 22; compared to its 26-week average of 18.

United States Oil Fund (USO) October weekly call option implied volatility is at 24, October is at 20, November is at 21, December is at 19; compared to its 26-week average of 17.

Options expected to be active @ CBOE: AAPL FB TSLA TWTR AMZN

Equity Options Volume @ CBOE; 1,040,041 call, 815,545 puts, 1,855,586 total

CBOE S&P 500 Skew Index (SKEW) at 123.17, compared to its 50-day moving average of 131.79. 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 1075.07 compared to its 10-day moving average of 1093.14 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 263.44 compared to its 50-day moving average of 268.32 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.20; compared to its 50-day moving average of 14.60.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 16.72, compared to its 10-day moving average of 14.39. 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 16c to 31.73.

CBOE Volatility Index (VIX) at 16.70, compared to its 10-day moving average of 14.55 and its 50-day moving average of 13.50 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 47c to $194.79 as WTI Crude Oil fall below $90.

Calls with increasing volume at CBOE:

EFA  10/18/2014  64   20K contracts
XLU  10/18/2014  43  17K
ABX  10/24/2014  16  15K
SPY     10/3/2014 196 12K
AAPL  10/3/2014 100 11K
NBG   1/17/2015    7   10K
GDX   10/3/2014 22.50 9K
IWM 11/22/2014 111   9K