Blogging Options: CBOE Morning Update 11.20.14

Soft economic numbers overseas have US stock futures lower.  Eurozone Purchasing Managers survey showed a sharp drop.  European shares off a little less than 1%.  October CPI flat, Core rate up 0.2%. VIX Futures trade ~9,800 contracts in the early session. Volatility as an asset class:

Keurig Green Mountain (GMCR) is down $3.45 (2.2%) to $150.50 in the premarket after reporting Q4 adjusted EPS 90c, consensus 77c. November call option implied volatility is at 153, December is at 51, January is at 45, March is at 43; compared to its 26-week average of 42.

salesforce.com (CRM) is off $1.80 or 3% to $59.22 after the software company reported Q3 EPS 14c, consensus 13c. November call option implied volatility is at 97, December is at 38, January is at 33; compared to its 26-week average of 34.

Williams-Sonoma (WSM) is up over 6% to $74 after reporting Q3 results, guidance. November call option implied volatility is at 100, December is at 35, January is at 29; compared to its 26-week average of 25.

Options expected to be active @ CBOE:  GPRO CZR BABA ANN WSM CRM GMCR VIX

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.23; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 33.14, compared to its 50-day moving average of 26.69 WTI Crude oil trades near $75 into Nov 27 OPEC meeting. cboe.com/OVX

CBOE Crude Oil Volatility Index $OVX @ 33.14 into Nov 27 OPEC meeting, cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 124.66, compares to its 50-day moving average of 128.19. 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 1070.42 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 262.83 compared to its 50-day moving average of 263.72 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.71; compared to its 50-day moving average of 17.45.

CBOE 3-Month Volatility Index (VXV) at 15.97, 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 38.90; compared to its 50-day moving average of 41.98.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 10c to 28.79.

CBOE Volatility Index (VIX) at 13.96, compared to its 10-day moving average of 13.56 and its 50-day moving average of 15.72. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 91c to $204.31 on global growth concerns.

Calls with increasing volume at CBOE:
SPY     11/22/2014  207 24K contracts
SIRI       1/17/2015  3.50 17K
AAPL  11/22/2014  115 11K
MU        1/17/2015   33 11K
MNKD   1/17/2015 5.50 11K
IWM 11/22/2014 115.50 10K
BABA 11/22/2014 110 7K