Blogging Options: CBOE Morning Update 10.13.14

Stocks firm in early trade after last week’s wild ride.  Columbus Day Holiday should have light trading – bonds closed, 3-day holiday for bankers and those with kids in school.  Balance of the week will be busy with Q3 earnings reports picking up and economic news.  European shares slightly higher, Asian shares off with NIKKEI down 1%.  10-year lightly traded but at 2.285%. Oil trading below $85.

Volatility as an asset class:   Companies that are developing treatments for the Ebola virus have seen their option implied volatility increase with their share prices

Chimerix (CMRX) October call option implied volatility is at 167, November is at 112, February is at 95; compared to its 4-week average of 81.

Tekmira (TKMR) October call option implied volatility is at 106, November is at 104, December is at 98, March is at 84; compared to its 25-week average of 100.

BioCryst (BCRX) October call option implied volatility is at 117, November is at 98, December is at 89, March is at 87; compared to its 26-week average of 80.

NewLink Genetics (NLNK) October call option implied volatility is at 115, November is at 134, December is at 186, March is at 188; compared to its 26-week average of 104.

VIX methodology for Apple (VXAPL) @ 29.69, compared to its 50-day MA of 26.43 CBOE.com/VXAPL

Options expected to be active @ CBOE: TKMR CMRX MT INTC C JNJ JPM WFC DHR NGLS TRGP APL ATLS CSX CP

CBOE Mini-SPX options $XSP @ 190.66, has weekly expirations CBOE.com/tradeXSP

CBOE S&P 500 95-110 Collar Index (CLL) @ 652.05: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 30.03, WTI Crude oil trades below $85. CBOE.com/OVX

S&P 500 Weekly Options (SPXW) closed @ 1928.20 CBOE.com/SPXW

CBOE S&P 500 95-110 Collar Index (CLL) closed @ 642.60: www.cboe.com/CLL

CBOE S&P 500 Skew Index (SKEW) at 130.82, compared to its 50-day moving average of 130.79. 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 1054.20 compared to its 10-day moving average of 1078.07 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 259.56 compared to its 50-day moving average of 267.50 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 22.62; compared to its 50-day moving average of 15.30.

CBOE 3-Month Volatility Index (VXV) @ 19.95, 50-day MA is 15.42 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.95, compared to its 10-day moving average of 16.97. 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 37c to 35.43.

CBOE Volatility Index (VIX) at 21.24, compared to its 10-day moving average of 16.74 and its 50-day moving average of 14.02 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 19c to $190.36 after last week’s sell off on global economic growth concerns.

Calls with increasing volume at CBOE:

SPY   12/20/2014  212    30K contracts
AAPL 10/10/2014  102   19K
MS       1/17/2015    37   15K
C        10/18/2014 52.50 13K

Puts with increasing volume at CBOE:

SPY   10/18/2014  190  138K contracts
XLB   10/18/2014  46.50 25K
QQQ 10/10/2014   95     21K