Blogging Options: CBOE Morning Update 11.7.14

Job gains in October lighter than consensus, as 214K new jobs added (~225K to 232K expected).  Jobless rate dropped a tick to 5.8%.  Participation rate ticked up slightly from last month’s 36 year low.  Stocks rallied and are now slightly lower in the first 20 minutes of trading.  VXTYN Futures debut next week, read yesterday’s blog for more details or go to for more details.  Volatility as an asset class:

AVG Technologies (AVG) is up $1.88 to $19.50 after a WSJ report announced that the security software maker was approached by potential buyers.  Overall option implied volatility of 35 is near its 26-week average of 37.

Salix (SLXP) is down $48.36 to $90.48 on volume of 4.8 mm shares, after announcing an accounting revision that showed sales of its drugs not as strong as Wall Street’s expectations. November and December call option implied volatility of 58 compares to its 26-week average of 47 according to Track Data, suggesting large near term price movement.

Humana (HUM) is off $4.97 to $134.90 after reporting less than expected Q3 EPS and sees FY15 EPS $8.50-$9.00, consensus $8.83.  November weekly call option implied volatility is at 91, November is at 28, December is at 26, January is at 24; compared to its 26-week average of 29.

CBOE Interest Rate 5 Year Note (FVX) dropped $0.39 to 16.20 after October monthly jobs report

CBOE/CBOT 10yr US Treasury Note Volatility Index (VXTYN) off 0.15 to 5.01.


CBOE Crude Oil Volatility Index (OVX) at 30.34, compared to its 50-day moving average of 24.95 WTI Crude oil trades near $79.

CBOE S&P 500 Skew Index (SKEW) at 124.93, compared to its 50-day moving average of 128.80. 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 1070.34 compared to its 10-day moving average of 1067.95

CBOE DJIA BuyWrite Index (BXD) at 262.76 compared to its 50-day moving average of 264.75

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.68; compared to its 50-day moving average of 17.28.

CBOE 3-Month Volatility Index (VXV) at 16.25, compared to its 50-day moving average of 17.28

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.65, compared to its 10-day moving average of 14.35. VXST is a market-based gauge of expectations of 9-day

Velocity Share VIX Short Term ETN (VIIX) at 39.77; compared to its 50-day moving average of 41.97
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 13c to 29.32.

CBOE Volatility Index (VIX) is slightly higher in the first 25 minutes of trading, up 0.25 to 13.92, compared to its 10-day moving average of 14.77 and its 50-day moving average of 15.59.

CBOE Mini-SPX options (XSP) at 203.10, has weekly expirations

S&P 500 Weekly Options (SPXW) closed at 2031.20

SPDR S&P 500 ETF Trust (SPY) off 0.15 to $203 as the dollar firmed to near a 4-1/2 year high against a basket of currencies this morning, after the U.S Non-Farm Payrolls number today.

Calls with increasing volume at CBOE yesterday included:

SPY    12/20/2014 204 47K contracts
VXX      12/5/2014  38 15K
QCOM 1/17/2015  70 11K
XLF      1/17/2015  24 10K