Blogging Options: CBOE Morning Update 11.3.14

US election on front burner today through Wednesday.  Futures mostly flat, crude ~$81 (gas under $3 per gallon at some stations in Chicago), 10-year 2.34%.  Media stocks report quarterly earnings mid-week.  Sapient gets bid this morning.  Volatility as an asset class:

Alibaba (BABA) is up $0.65 to $99.25 in the premarket, the release of Q3 results is expected today. November weekly call option implied volatility is at 66, November is at 48, December is at 42, January is at 37; compared to its 4-week average of 39.

Proshares UltraShort Barc 20 Year Treasury (TBT) is down 5c to $52.89 into the October monthly jobs report at the end of the week. November weekly call option implied volatility is at 32, November is at 25, December is at 23; compared to its 26-week average of 22.

Covance (CVD) is up $22.16 to $103 in the premarket, as LabCorp (LH) set to acquire it for $5.6B. Covance shareholders will receive $75.76 in cash and 0.2686 LabCorp shares for each Covance share they own.  Overall option implied volatility of 31 is above its 26-week average of 28.

CBOE Interest Rate 5 Year Note (FVX) at 16.13 into Oct monthly jobs report @ end of the week
Options expected to be active @ CBOE:  BABA SAPE LH CVD SOHU

Equity options volume on Oct 31, 2014 @ CBOE: 1,611,418 calls, 810,601 puts, 2,422,019 total

CBOE Crude Oil Volatility Index (OVX) at 30.52, compared to its 50-day moving average of 23.48 WTI Crude oil trades near $81. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 124.75, compared to its 50-day moving average of 129.60. 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 1069.60 compared to its 10-day moving average of 1060.49 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.68 compared to its 50-day moving average of 265.33 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.81; compared to its 50-day moving average of 16.87.

CBOE 3-Month Volatility Index (VXV) at 16.50, compared to its 50-day moving average of 16.57 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.80, compared to its 10-day moving average of 15.82. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 40.94; compared to its 50-day moving average of 41.68

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 20c to 30.52.

CBOE Volatility Index (VIX) at 14.03, compared to its 10-day moving average of 15.92 and its 50-day moving average of 15.32. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 201.80, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 2018.05 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is flat.  Corporate results during the current earnings season have been better than expected, and recently released economic data has helped solidify the market’s move. Today investors will be watching the ISM manufacturing and prices paid reports for additional clues about the economy