Blogging Options: CBOE Morning Update 10.27.14

Pretty good volume day Friday for options, with 16.85mm contracts traded.  ~913K SPX and over 1 million VIX contracts change hands.  Soft opening on US markets this morning.  Volatility as an asset class

Brazil’s president Rousseff won a second term yesterday, defeating the conservative Aécio Neves in a race that exposed Brazil’s economic and social fault lines.

MSCI Brazil Index (EWZ) is down $3.67 to $37.12 in the premarket. MSCI Brazil Index October weekly call option implied volatility is at 119, November is at 53, December is at 39; compared to its 26-week average of 29.

Petrobras (PBR) is down $2.21 to $10.72. October weekly call option implied volatility is at 174, November is at 118, December is at 79; compared to its 26-week average of 45.

Telefonica Brasil (VIV) is down $1.35 to $17.57 in the premarket. Overall option implied volatility of 31 is above its 26-week average of 25.

Options expected to be active @ CBOE: MRK EWZ PBR BHP NQ GPRO BWLD

CBOE Crude Oil Volatility Index (OVX) at 31.27, compared to its 50-day moving average of 22.55. WTI Crude oil trades near $81. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 125.57, compared to its 50-day moving average of 130.85. 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 1063.41 compared to its 10-day moving average of 1047.38 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 260.64 compared to its 50-day moving average of 265.99 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.93; compared to its 50-day moving average of 16.58.

CBOE 3-Month Volatility Index (VXV) at 17.92, compared to its 50-day moving average of 16.27 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.76, compared to its 10-day moving average of 22.23. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.85; above 50-day moving average of 41.25

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 23c to 33.40.

CBOE Volatility Index (VIX) at 16.11, compared to its 10-day moving average of 20.60 and its 50-day moving average of 15.11. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 196.45, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 1964.60 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is down $0.43 to $196.00 after the ECB released the results of its European bank stress tests  and into Wednesday’s FOMC announcement.

Calls with increasing volume at CBOE:
SPY   12/31/2014  213 28K contracts
AAPL 10/24/2014 105 18K
FOXA 11/22/2014  33 14K
F         10/31/2014  14 13K

Puts with increasing volume at CBOE:
SPY   10/24/2014 195      39K contracts
IWM  10/24/2014 110.50 23K