Blogging Options: CBOE Morning Update 11.10.14

Quiet overnight session after three weeks of gains.  European shares higher, Asian stocks mixed. Several Retailers will post results in the next few days. Chinese economic numbers released this morning exactly on consensus estimates, whatever that means.  Traders on the floor this morning talking about Chicago Bears humiliation at the hand of Green Bay Packers last night.  Volatility as an asset class

GoPro (GPRO) is down $4.76 to $74.30 in the premarket after filing to sell $800M in common stock. November weekly call option implied volatility is at 66, November & December at 67, January is at 76; compared to 15-week average of 56.

McDonald’s (MCD) is up $0.80 to $95.90 on APMEA’s comparable sales decrease of 4.2%, reflecting the ongoing impact of the supplier issue on performance in Japan and China, partly offset by strong performance in Australia.  Overall option implied volatility of 14 is near its 26-week average of 15.

Toll Brothers (TOL) is up $0.77 to $32.99 after reporting preliminary Q4 revenue $1.35B, consensus $1.31B. Overall option implied volatility of 26 is at its 26-week average.

Options expected to be active @ CBOE: RAX DDD BID JCP BZR CSCO M GPRO MCD

CBOE Crude Oil Volatility Index (OVX) at 29.47, compared to its 50-day moving average of 25.21 WTI Crude oil trades near $79. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.08, compares to its 50-day moving average of 128.58. 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 1070.54 compared to its 10-day moving average of 1068.67 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.76 compared to its 50-day moving average of 262.25 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.71; compared to its 50-day moving average of 17.33.

CBOE 3-Month Volatility Index (VXV) at 15.85, compared to its 50-day moving average of 16.84 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.13, compared to its 10-day moving average of 13.98. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 39.20; compared to its 50-day moving average of 41.99

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 19c to 28.84.

CBOE Volatility Index (VIX) at 13.12, compared to its 10-day moving average of 14.47 and its 50-day moving average of 15.61. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 203.20, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 2031.90 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is flat at $203.34 as U.S. equity indexes are near record highs

Calls with increasing volume at CBOE:

AAPL   11/7/2014  109 19K contracts
SPY      11/7/2014  203 12K
NOK  11/14/2014       8  7K
DOW 11/22/2014     45  7K
VXX    11/14/2014     35  6K