Blogging Options: CBOE Morning Update 10.3.14

September Non-Farm Payrolls rose 248K (wide range of estimates, this at the high end).  Unemployment Rate at 5.9% (6.1% August).  August Payrolls revised from 148K to 180K, July revised slightly higher. 10-year up 2 basis points to 2.46%, Gold drops $12, Euro with 125 handle. DJIA Futures look to up 100 point rise on open, S&P Futures up 11 points.  Rick Santelli with a good question: “With jobs averaging gains of 200k plus per month, why Zero interest rates”?  Watch Fed comments next week. Volatility as an asset class:

Companies identified as working on potential Ebola treatments have mixed option implied volatility

Tekmira (TKMR) overall option implied volatility of 92  compares to its 24-week average of 99.

Sarepta (SRPT) overall option implied volatility of 74 compares to its 26-week average of 67.

BioCryst (BCRX) overall option implied volatility of 82 compares to its 26-week average of 85.

NewLink Genetics (NLNK) overall option implied volatility of 148 is above its 26-week average of 101.

Inovio (INO) overall option implied volatility of 62 compares to its 26-week average of 102.

NanoViricides (NNVC) overall option implied volatility of 60 compares to its 26-week average of 74.

Chimerix (CMRX) overall option implied volatility of 74 compares to its 2-week average of 73.

GlaxoSmithKline (GSK) overall option implied volatility of 18 compares to its 26-week average of 16.

Options expected to be active @ CBOE:  SPX VIX VXST GPRO JPM C BAC HAL MYL GLD OXY

CBOE S&P 500 Skew Index (SKEW) at 125.35, compared to its 50-day moving average of 131.64. 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 1075.44 compared to its 10-day moving average of 1089.79 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 263.51 compared to its 50-day moving average of 268.17 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.62; compared to its 50-day moving average of 14.72.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.93, compared to its 10-day moving average of 14.88. 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 77c to 30.78.

CBOE Volatility Index (VIX) at 16.16, compared to its 10-day moving average of 14.96 and its 50-day moving average of 13.59 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $1.21 to $195.57 as crowds of pro-democracy protesters in Hong Kong decreased sharply today after the territory’s chief executive, Leung Chun-ying, agreed to meet with demonstrator leaders over their demands for electoral reforms.

Calls with increasing volume at CBOE:

PFE 10/18/2014 31 67K contracts
SPY 12/31/2014 209 32K
XLF 10/18/2014 23.50 19K
PBR 10/10/2014 15 16K
AAPL 10/3/2014 100 15K
APA 10/18/2014 105 10K
IWM 1/17/2015 118 10K