Blogging Options: CBOE Morning Update 11.13.14

Volatility as an asset class

Procter and Gamble (PG) is down $0.58 to $88.90 on Berkshire Hathaway Inc. (BRK.B) acquiring the Duracell battery business from Procter & Gamble in deal valued at approximately $6.4B. Overall option implied volatility of 13 is near its 26-week average of 14.

Cisco (CSCO) is  higher by $0.38 to $25.50 on a Q1 profit decrease of 8.4%. November weekly call option implied volatility is at 77, November is at 34, December is at 23, January is at 19, February is at 20; compared to its 26-week average of 23.

Wal-Mart (WMT) is up $2.83 to $82.003 in the premarket on a Q3 earnings beat. November weekly call option implied volatility is at 33, December is at 14, January and March is at 12; compared to its 26-week average of 14.

Options expected to be active @ CBOE:  CSCO DWA JCP WMT TWTR BABA FUEL SINA

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.26; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 30.71, compared to its 50-day moving average of 25.98 WTI Crude oil trades near $77. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 125.71, compares to its 50-day moving average of 128.44. 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 1070.58 compared to its 10-day moving average of 1069.94 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.77 compared to its 50-day moving average of 264.17 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.33; compared to its 50-day moving average of 17.40.

CBOE 3-Month Volatility Index (VXV) at 15.75, compared to its 50-day moving average of 15.72 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.39, compared to its 10-day moving average of 12.87. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.18; compared to its 50-day moving average of 41.98

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 22c to 28.06.

CBOE Volatility Index (VIX) at 13.02, compared to its 10-day moving average of 13.77 and its 50-day moving average of 15.65. 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 $204.31 despite disappointing factory output data out of China.

Calls with increasing volume at CBOE:
F         1/17/2015   15   43K contracts
SPY  12/20/2014 205  17K
FXI   11/14/2014 38.50 13K
AAPL 11/14/2014 110  11K
FB     11/22/2014 77.50 9K