Blogging Options: CBOE Mid-Morning Update 10.16.14

With the market selling off sharply Tuesday, CBOE set records for volume in VIX Options (1.832 million), VIX Futures (791 K) , and with SPX options (~2.67million contracts).  VIX rose again, closing at a level not seen in quite a while (see Matt Moran’s blog from earlier this morning).  Overall options trading showed over 33.5 mm contracts trade. After the close WMT (-$1.50), NFLX (see below) and AMZN (-$4.20) let us know that the selloff had legs and would continue this morning.  The 10-year dropped 10 handles yesterday, while Asian and European stock were off ~1% to 2$ overnight.

Netflix (NFLX) is was down over $120 overnight, but is now off  $104 to $344.59 on less than expected Q3 results. October call option implied volatility is at 98, November is at 42, December is at 39, January is at 37, March is at 34; compared to its 26-week average of 35.

Goldman Sachs (GS) is lower by $5.24 to $172 after reporting Q3 EPS $4.57, consensus $3.21. October call option implied volatility is at 41, November is at 25, January is at 22; compared to its 26-week average of 19.

Closing prices coming into this morning’s session:

SPDR Gold Trust (GLD) overall implied volatility at 16; 26-week average is 15.

iShares Silver Trust (SLV) overall implied volatility at 28; 26-week average is 23.

Russell 2000 (IWN) overall implied volatility at 22; 26-week average is 16.

Financial Select Sector (XLF) overall volatility at 20, 26-week average is 15.

Options expected to be active @ CBOE: NFLX CHK BHI AAPL GOOG GS YHOO

CBOE S&P 500 95-110 Collar Index (CLL) at 636.30: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 36.36, WTI Crude oil trades below $81. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 111.31, compared to its 50-day moving average of 130.57. 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 1030.20 compared to its 10-day moving average of 1063.21 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 253.32 compared to its 50-day moving average of 266.97 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 27.05; compared to its 10-day moving average of 21.27.

CBOE 3-Month Volatility Index (VXV) at 23.80, 50-day MA is 15.77 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 31.12, compared to its 10-day moving average of 20.31. 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 4.91 to 44.30.

CBOE Volatility Index (VIX) at 26.25, compared to its 10-day moving average of 19.21 and its 50-day moving average of 14.51. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 186.25, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1862.50 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) has rallied and is off only $1.40 in the first hour of trading, as investor adjust positions on Eurozone crisis spots. In Greece, 10-year yields spiked to 8.83% this morning.

Calls with increasing volume at CBOE Tuesday included:

AAPL  10/18/2014  100  31K contracts
MU       1/17/2015    33  30K
SPY    11/22/2014  185  24K
IWM  11/22/2014  112  18K