Blogging Options: CBOE Morning Update 10.21.14

Several earnings reports at the opening.  MCD is off $0.75 after missing, VZ lower by $0.50, KO down $2.00.  Oil & Gold higher.  US markets open slightly higher.  Ed Tilly welcomed students from Drake School in Chicago to the SPX yesterday after the close.  CBOE is involved in a tutoring program with volunteers from the trading floor, employees and member firms for Drake students.  This is the 16th year of the program.  Volatility as an asset class:

Apple (AAPL) is up $1.94 to $101.70 on better than expected Q4 earnings and revenue. October weekly call option implied volatility is at 52, November is at 28, December is at 25, January is at 24; compared to its 26-week average of 25.

ARM Holdings (ARMH) is down $2.55 to $39.81 after the microchip designer reported a 34% increase in Q3 profit. November call option implied volatility is at 45, January is at 38; compared to its 26-week average of 34.

Chipotle Mexican Grill (CMG) is down $33 to $620 on better than expected Q3 results and a cautious outlook. October weekly call option implied volatility is at 97, November is at 43, December is at 34; compared to its 26-week average of 29.

Options expected to be active @ CBOE: KO AAPL YHOO ARMH CMG UTX TOT PBR TRV

CBOE S&P 500 95-110 Collar Index (CLL) at 640/20: www.cboe.com/CLL

CBOE Crude Oil Volatility Index (OVX) at 29.36, compared to its 50-day moving average of 21.54. WTI Crude oil trades near $83. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 120.62, compared to its 50-day moving average of 130.78. 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 1051.43 compared to its 10-day moving average of 1051.01 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 257.82 compared to its 50-day moving average of 266.53 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.32; compared to its 50-day moving average of 16.22.
CBOE 3-Month Volatility Index (VXV) at 19.67, compared to its 50-day moving average of 16.03 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.45, compared to its 10-day moving average of 23.17. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 48.30; above 50-day moving average of 40.90

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.40 to 34.20.

CBOE Volatility Index (VIX) at 18.57, compared to its 10-day moving average of 21.17 and its 50-day moving average of 14.85. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 190.40, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1904 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is recently up 1.59 to $191.88 as earnings season is producing better than expected earnings last night from Apple and this morning from Dow components United Technologies (UTX) and Travelers (TRV).

Calls with increasing volume at CBOE:

SPY 12/20/2014 204 65K contracts
SHLD1 1/17/2015 70 20K
AAPL 11/22/2014 105 13K
VXX 10/31/2014 85 12K

Puts with increasing volume at CBOE:

VXX 11/22/2014 27 15K contracts
SPY 12/20/2014 171 15K
PBR 10/24/2014 15 8K