Blogging Options: CBOE Morning Update 11.11.14

Veteran’s Day, US banks closed.  Talk of Japan postponing tax increase has dollar and stock futures modestly higher, tacking on to yesterday’s gains.  Volatility as an asset class:

Caesar’s (CZR) is down $084 to $10.70 in the premarket after reporting a larger than expected Q3 loss. November weekly call option implied volatility is at 147, November is at 104, December is at 174, January is at 150, March is at 134; compared to its 26-week average of 68.

Alibaba (BABA) is off $1.71 to $117.32 after closing at a record high. November weekly call option implied volatility is at 55, November is at 45, December is at 43, January is at 43.

Rackspace (RAX) is higher by $1.71 to $39.03 in the premarket after reporting Q3 results and announcing a $500M share buyback. November weekly call option implied volatility is at 94, November is at 65, December is at 46, January is at 44; compared to its 26-week average of 44.

Options expected to be active @ CBOE: BABA GPRO M CSCO RAX JNPR

CBOE Crude Oil Volatility Index (OVX) at 30.72, compared to its 50-day moving average of 25.49 WTI Crude oil trades near $78. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 130.50, compares to its 50-day moving average of 128.65. 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 1070.79 compared to its 10-day moving average of 1079.45 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.84 compared to its 50-day moving average of 264.47 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.30; compared to its 50-day moving average of 17.36.

CBOE 3-Month Volatility Index (VXV) at 15.05, compared to its 50-day moving average of 16.86 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.32, compared to its 10-day moving average of 13.51. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.72; compared to its 50-day moving average of 41.98

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 28c to 27.61.

CBOE Volatility Index (VIX) at 12.67, compared to its 10-day moving average of 14.13 and its 50-day moving average of 15.62. cboe.com/VIX

CBOE Mini-SPX options (XSP) at 203.85, has weekly expirations CBOE.com/tradeXSP

S&P 500 Weekly Options (SPXW) closed at 2038.25 CBOE.com/SPXW

SPDR S&P 500 ETF Trust (SPY) is up 35c to $204.35 as U.S. equity indexes are near record highs

Calls with increasing volume at CBOE:
WAG   1/17/2015    70 18K contracts
SPY   11/14/2014  206 13K
KMI   12/20/2014 42.50 7K
BABA 11/14/2014 120 6K
EWJ 12/20/2014 12 6K
AAPL 11/14/2014 110 6K