Blogging Options: CBOE Morning Update 11.18.14

It’s cold in the midwest.  PPI for October rose an unexpected 0.2% (-0.1% expected, and -0.1% in Sept.).  X-Food % Energy PPI rose 0.1%.   HD beat with earnings but vague comments about cost of security problems shows the shares off $0.90.  Fans of Shark Tank woke up to find GrooveBook (Shark Tank company) bought by Shutterfly for $14.5 million – Kevin O’Leary and Mark Cuban do well. Volatility as an asset class:

Urban Outfitters (URBN) is down $1.38 to $29.45 in the premarket after the retailer reported lower than expected Q3 EPS.  November call option implied volatility is at 68, December is at 38, January is at 34, March is at 30; compared to its 26-week average of 31.

Agilent (A) is down 49c to $40.75 after the testing equipment company reported less than expected Q4 EPS. Overall option implied volatility of 31 is above its 26-week average of 26.

iShares MSCI Japan Index Fund (EWJ) is up 9c to $11.67 after Japanese Prime Minister Shinzo Abe says he will delay a sales tax rise and call a snap election. Overall option implied volatility of 23 compares to its 26-week average of 16.

Options expected to be active @ CBOE:  A SNE URBN TGT HD WSM MDT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.50; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 34.39, compared to its 50-day moving average of 26.61 WTI Crude oil trades near $75. cboe.com/OVX

CBOE Crude Oil Volatility Index $OVX 4.1% to 34.34 into Nov 27 OPEC meeting, cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 123.69, compares to its 50-day moving average of 128.20. 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 1070.82 compared to its 10-day moving average of 1070.42 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.82 compared to its 50-day moving average of 263.72 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.53; compared to its 50-day moving average of 17.49.
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 11.42, compared to its 10-day moving average of 12.09. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.69; compared to its 50-day moving average of 42.06.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 10c to 28.50.
CBOE Volatility Index (VIX) at 13.99, compared to its 10-day moving average of 13.55 and its 50-day moving average of 15.72. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 11c to $204.46 after Japanese Prime Minister Shinzo Abe says he will delay a sales tax rise and call a snap election, a day after data showed the economy had contracted for two successive quarters, dragged down by a rise in the consumption tax in April.

Calls with increasing volume at CBOE:

ABBV   1/15/2016    70    16K contracts
GDX   11/22/2014 19.50 14K
MSFT 11/22/2014    50    11K
DOW 12/20/2014  52.50 10K
AAPL 11/22/2014  115    10K
IWM  11/28/2014  120    10K
AAPL 11/22/2014  114      8K
SPY 11/22/2014 204 7K
LOW 11/22/2014 62.50 7K