Blogging Options: CBOE Morning Update 10.14.14

Busy day at CBOE yesterday, as almost 7.5 mm contracts trade.  Volume leaders were SPX and VIX, each exceeding 1 mm contracts with ease.  VIX futures with ~523 k volume came within a whisker of setting a record (~530K).  VIX futures off to a strong start in the early session with volume of 50 K.  Earnings taking center stage this morning, led by the big banks. Volatility as an asset class

JPMorgan Chase (JPM) is down $0.76 to $57.48 in the premarket volatility after reporting Q3 EPS of $1.36 missing forecasts of $1.39. October call option implied volatility is at 33, November is at 24, December is at 22; compared to its 26-week average of 18.

Johnson & Johnson (JNJ) is up $1.00 to $100.14 after reporting Q3 adjusted EPS $1.50, consensus $1.44. October call option implied volatility of 31, November is at 20, January is at 15; compared to its 26-week average of 15.

Citigroup (C) is up $1.25 to $51.14 in the premarket on better than expected Q3 results and exiting its consumer business’s in eleven markets. October call option implied volatility is at 39, November is at 25, December is at 25, January is at 24; compared to its 26-week average of 23.

Options expected to be active @ CBOE: C JPM BAC INTC WFC JNJ BLK

CBOE S&P 500 95-110 Collar Index (CLL) at 638.55: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 31.32, WTI Crude oil trades below $85. CBOE.com/OVX

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

CBOE S&P 500 Skew Index (SKEW) at 130.36, compared to its 50-day moving average of 130.82. 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 1036.86 compared to its 10-day moving average of 1072.67 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.07 compared to its 50-day moving average of 267.34 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 25.72; compared to its 50-day moving average of 19.61.

CBOE 3-Month Volatility Index (VXV) at 22.10, 50-day MA is 15.52 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 27.22, compared to its 10-day moving average of 18.08. 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 83c to 38.72.

CBOE Volatility Index (VIX) at 24.64, compared to its 10-day moving average of 17.61 and its 50-day moving average of 14.17. cboe.com/VIX

CBOE VIX futures October at 22.17, December at 19.52, February at 19.85, April @ 20.20, June at 20.40

CBOE Mini-SPX options (XSP) at 187.45, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1874.75 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently up 1.16 to $188.52 on better than expected corporate earnings after yesterday’s market pullback.

Calls with increasing volume at CBOE:

SPY 11/22/2014 190 17K contracts
PBR 12/20/2014   18 14K
GDX 12/20/2014   25 10K

Puts with increasing volume at CBOE:

EEM  10/18/2014   40  88K contracts
SPY   10/18/2014 190  73K
IWM 10/18/2014 105  29K

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