Blogging Options: CBOE Morning Update 11.26.14

Economic data soft this morning.  Durable Goods rose, but the Core report showed a sharp drop. Overseas markets soft. The 10-Year fell to 2.24%.  Big storm on East Coast should have traders getting their work done early today.  Several more data releases due in next hour.  Volatility as an asset class:

HP (HPQ) is down 87c to $36.76 in the premarket as Q4 revenue decreased into its “value-creating” break-up remains on track. November weekly call option implied volatility is at 50, December is at 25, January and February is at 22; compared to its 26-week average of 26.

Perfect World (PWRD) is down $1.02 to $18.40after the online game operator reported Q3 EPS 41c, compared to consensus 40c.  Q3 revenue was $158M, compared to consensus $160.89M. Overall option implied volatility of 43 is near its 26-week average of 42.

Analog Devices (ADI) is up $1.03 to $52.74 in the premarket after the integrated chip manufacturer reported Q4 EPS 69c, consensus 68c. Q4 revenue was $814M, compared to consensus $804M. Overall option implied volatility of 24 is near its 26-week average of 23.

Options expected to be active @ CBOE:  HPQ SDRL USO DE PWRD

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.31; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 37.49, compared to its 50-day moving average of 28.62 WTI Crude oil trades near $75 into OPEC meeting. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 126.27, compares to its 50-day moving average of 128.39. 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 1067.07 compared to its 10-day moving average of 1069.51 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.01 compared to its 50-day moving average of 262.76 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.12; compared to its 50-day moving average of 17.10.

CBOE 3-Month Volatility Index (VXV) at 15.45, compared to its 50-day moving average of 17.10 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.81, compared to its 10-day moving average of 11.23 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.68; compared to its 50-day moving average of 41.99.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.98.

CBOE Volatility Index (VIX) at 12.24, compared to its 50-day moving average of 15.72. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 36c to $207.47 as stocks trade near record highs into OPEC meetings.

Calls with increasing volume at CBOE:
AAPL  11/28/2014  119  18K contracts
SPY     11/28/2014  208  10K

Puts with increasing volume at CBOE:
XLE     12/5/2014  85.00 36K contracts
SPY   12/20/2014  204   25K
QQQ 12/12/2014    98   10K
GREK   3/20/2015   15     9K
CSCO 1/17/2015 22 9K
IWM 1/17/2015 112 8K