Blogging Options: CBOE Morning Update 11.25.14

Q3 GDP revised higher from a gain of 3.5% to 3.9%.  Case-Shiller Home Prices showed a modest increase.  Train empty on way in this morning.  They’re missing an intra-day, all-time high on SPX. Volatility as an asset class:

Palo Alto (PANW) is up $1.51 to $114.77 in the premarket after the cybersecurity company reported a Q1 loss on rising expenses. November weekly call option implied volatility is at 83, December is at 48, January is at 46, March is at 41; compared to its 26-week average of 52.

Workday (WDAY) is down $5.15 to $87.44 after human resource software firm showed a slower pace of growth. November weekly call option implied volatility is at 84, December is at 45, January is at 43, March is at 41; compared to its 26-week average of 42.

Nuance (NUAN) is up $0.70 to $16.04 in the premarket after reporting a strong finish to fiscal 2014, with revenue, EPS and bookings above our guidance ranges. December call option implied volatility is at 52, January is at 41, April is at 37; compared to its 26-week average of 38.

Options expected to be active @ CBOE:  PNAW WDAY PBR HRL NUAN

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 4.89; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 36.28, compared to its 50-day moving average of 28.24 WTI Crude oil trades near $76 into OPEC meeting. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 140.17, compares to its 50-day moving average of 128.40. 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 1067.78 compared to its 10-day moving average of 1069.84 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.01 compared to its 50-day moving average of 262.93 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.25; compared to its 50-day moving average of 17.52.

CBOE 3-Month Volatility Index (VXV) at 15.55, compared to its 50-day moving average of 17.08 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.15, compared to its 10-day moving average of 11.30 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.90; compared to its 50-day moving average of 42.01.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 27.21.

CBOE Volatility Index (VIX) at 12.62, compared to its 50-day moving average of 15.73. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 23c to $207.49 as stocks trade at record highs.

Calls with increasing volume at CBOE:

EEM  12/20/2014    44  48K contracts
SPY   12/20/2014  212  30K
MBI     1/17/2015    11  14K
IWM  11/28/2014  119 10K
AAPL 11/28/2014  120   9K
DD 1/17/2015 72.50 9K
TMUS 2/20/2015 29 7K