Blogging Options: CBOE Morning Update 11.17.14

Asian markets off sharply as Japan officially enters recession.  NIKKEI off 3% after trading off 6%. Oil and grains off fractionally. Nov. VIX settles this Wednesday. It’s cold in Chicago.  Volatility as an asset class:

Baker Hughes (BHI) is up $9.51 to $69.43 in the premarket on Halliburton (HAL) acquiring all the outstanding shares of Baker Hughes in a stock and cash transaction valued at $78.62 per share. November call option implied volatility is at 71, December is at 45; compared to its 26-week average of 24.

Halliburton is down $2.48 to $52.60.  November call option implied volatility is at 39, December is at 37; compared to its 26-week average of 28.

Linkedin (LNKD) is down $3.89 to $230 in the premarket on Facebook (FB) quietly working on “Facebook at Work,” a website that would compete directly with LinkedIn the Financial Times reports.  November call option implied volatility is 31, December is at 30, January at 32; compared to its 26-week average of 46.

Options expected to be active @ CBOE:  BHI HAL SLB BABA PBR DWA ACT AGN VRX

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.44; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 32.99, compared to its 50-day moving average of 26.55 WTI Crude oil trades near $75. CBOE.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 128.67, compares to its 50-day moving average of 128.24. 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 1070.29 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.77 compared to its 50-day moving average of 263.87 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.16; compared to its 50-day moving average of 17.45.

CBOE 3-Month Volatility Index (VXV) at 15.95, compared to its 50-day moving average of 16.97 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.35, compared to its 10-day moving average of 12.42. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.71; compared to its 50-day moving average of 42.03.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 28c to 28.95.

CBOE Volatility Index (VIX) at 13.31, compared to its 10-day moving average of 13.62 and its 50-day moving average of 15.70. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 36c to $203.88 as the price of oil decreased and Japan slipped into recession.

Calls with increasing volume at CBOE:

AMAT 4/17/2015 23 20K contracts
AAPL 11/14/2014 114 16K
SPY 11/14/2014 204 13K
RFMD 1/17/2015 14 11K
GLNG 3/20/2015 70 10K
IWM 11/22/2014 123 9K
1BHI 12/20/2014 65 9K