Blogging Options: CBOE Morning Update 11.24.14

Conflicting business surveys on a slow news Monday.  Germany’s came in a little better than expected, firming up European stocks, while Markit’s Global Survey showed slowing.  This morning’s business news filled with “Nor’easter” hitting DC to Maine on Wednesday, giving traders and investors an excuse to extend the Thanksgiving weekend.  OPEC meets later this week, giving a little volatility to oil futures.  Volatility as an asset class:

Trina Solar (TSL) is down 47c to $10.46 in the premarket after reported Q3 EPS of $0.34, better than the analyst estimate of $0.15. Revenue for the quarter came in at $616M versus the consensus estimate of $645M. Overall option implied volatility of 65 compares to its 26-week average of 62.

Prosensa (RNA) is up $7.42 to $18.77 in the premarket on BioMarin Pharma (BMRN) to acquiring the drug maker for $17.75. Overall option implied volatility of 88 is above its 26-week average of 84.

Options expected to be active @ CBOE: BMRN PBR ITUB SRPT AAPL

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.01; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 34.92, compared to its 50-day moving average of 27.92 WTI Crude oil trades near $76. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 138.46, compares to its 50-day moving average of 128.14. 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 1065.60 compared to its 10-day moving average of 1070.14 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 261.87 compared to its 50-day moving average of 263.10 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.71; compared to its 50-day moving average of 17.56.

CBOE 3-Month Volatility Index (VXV) at 15.80, compared to its 50-day moving average of 17.09 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.45, compared to its 10-day moving average of 11.32 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 42.07.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 27.55.

CBOE Volatility Index (VIX) at 12.90, compared to its 50-day moving average of 15.76. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 44c to $207.12 as stocks build on last weeks gains.

Calls with increasing volume at CBOE:
SPY      1/17/2015  215  34K contracts
AAPL 11/22/2014  117  22K
EWZ     1/17/2015   50  14K