Blogging Options: CBOE Morning Update 11.6.14

ECB leaves rates unchanged, no surprise.  Weekly Jobless Claims dropped, but Challenger reported a jump in layoffs. European shares modestly higher, Asian shares hit by profit takers.  Oil and metals lower again, 10-year 2.36%.  Volatility as an asset class

Tesla (TSLA) is up $4 to $243.97 in the premarket after beating earnings estimates and issuing an optimistic outlook for 2015.  TSLA was up ~$10 until they announced a delay in delivery in one of their cars.  November weekly call option implied volatility is at 159, November is at 63, December is at 52, January is at 45; above its 26-week average of 46.

CBS (CBS) is up $1.25 to $53.75 on a Q3 beat and says it will provide its TV shows to upcoming online TV service, joining Viacom as content providers for the electronic giant’s effort to create its own cloud-based TV. November weekly call option implied volatility is at 71, December is at 42, December is at 34; compared to its 26-week average of 34.

Qualcomm (QCOM) is down $5.02 to $72.18 in the premarket on a Q3 miss and disclosing that it is being investigated over regulatory problems in the U.S. and Europe. November weekly call option implied volatility is at 47, November is at 24, December is at 21, January is at 17; compared to its 26-week average of 21.

CBOE Interest Rate 5 Year Note (FVX) at 16.34 into Oct monthly jobs report @ end of the week

CBOE/CBOT 10yr US Treasury Note Volatility Index (VXTYN) @ 5.41 into Oct Jobs Report cboe.com/VXTYN

Options expected to be active @ CBOE: TSLA CBS SCTY MBI TRIP Z TRLA WFM GLD

Equity options volume on Nov 4, 2014 @ CBOE: 1,015,430 calls, 638,753 puts, 1,654.183 total

CBOE Crude Oil Volatility Index (OVX) at 31.39, compared to its 50-day moving average of 24.67 WTI Crude oil trades above $79. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 125.66, compared to its 50-day moving average of 129.01. 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 1070.26 compared to its 10-day moving average of 1067.10 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.67 compared to its 50-day moving average of 264.90 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.34; compared to its 50-day moving average of 17.22.

CBOE 3-Month Volatility Index (VXV) at 16.57, compared to its 50-day moving average of 16.76 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.35, compared to its 10-day moving average of 15.59. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 40.81; compared to its 50-day moving average of 41.99

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 2c to 30.22.

CBOE Volatility Index (VIX) at 14.17, compared to its 10-day moving average of 15.05 and its 50-day moving average of 15.55. cboe.com/VIX

CBOE Volatility Index October 2014 average daily volume was 852,402 contracts cboe.com/VIX

CBOE Mini-SPX options (XSP) at 202.35, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 2023.55 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is down 31c to $202.03 as European stocks fell for the third time in four days this morning, as investors awaited the ECB’s monetary policy decision.

Calls with increasing volume at CBOE:

SPY    1/17/2015   212 13K contracts
IWM 11/22/2014   116  8K
JBLU   1/17/2015     13  7K
IDTI    3/20/2015     20  6K
AAPL   11/7/2014  110  5K