Blogging Options: CBOE Morning Update 10.15.14

Big option and VIX Futures day yesterday as markets firmed. Volatility as an asset class

Intel (INTC) is down 29c to $31.85 in the premarket on Q3 net income rising 12%. October call option implied volatility is at 35, November is at 29, December is at 24; compared to its 26-week average of 22.

Bank of America (BAC) is up 10c to $16.63 in the premarket on Q3 revenue falling 1.5% to $21B. October call option implied volatility is at 38, November is at 25, January is at 22; compared to its 26-week average of 24.

PNC Financial (PNC) is recently down 9c to $81.50 in the premarket after reporting results topping expectations. October call option implied volatility is at 38, November is at 25, January is at 19; compared to its 26-week average of 18.

Options expected to be active @ CBOE: SHPG ABBV INTC BLK USO AZN

CBOE S&P 500 95-110 Collar Index (CLL) at 638.35: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 37.23, WTI Crude oil trades below $81. CBOE.com/OVX

CBOE S&P 500 95-110 Collar Index (CLL) closed @ 638.35: www.cboe.com/CLL

CBOE S&P 500 Skew Index (SKEW) at 127.78, compared to its 50-day moving average of 130.83. 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 1038.54 compared to its 10-day moving average of 1067.70 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256 compared to its 50-day moving average of 267.16 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 25; compared to its 10-day moving average of 20.28.

CBOE 3-Month Volatility Index (VXV) at 21.35, 50-day MA is 15.63 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 24.61, compared to its 10-day moving average of 18.87. 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 up 92c to 39.85.

CBOE Volatility Index (VIX) at 22.79, compared to its 10-day moving average of 18.26 and its 50-day moving average of 14.33. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 187.75, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1877.70 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently down 1.33 to $186.37 as oil falls to three-year low as bond yields decrease.

Calls with increasing volume at CBOE:

SPY 11/22/2014 200 35K
PBR 11/22/2014 22 22K
AAPL 10/18/2014 100 13K
WFC 10/18/2014 52.50 12K
BAC 10/18/2014 17 11K