Blogging Options: CBOE Morning Update 11.28.14

Other than Black Friday shopping, Oil the talk of Wall Street.  OPEC failed to reach an agreement on a token production cut, WTI Crude at $69.40 per bbl.  This dragging the  S&P lower in early trading,  DJIA Futures flat, NASDAQ slightly higher.  Airlines shares soaring, drillers and majors down.  Gold down 1%, Silver off 3%.  10-year at 2.20%.  VIX Futures trade 14.5K in early session.   Early dismissal today, markets close 12:00 pm CST, 12:15pm on major Index options.  Volatility as an asset class

Oil indexes and ETF option implied volatility is elevated as WTI Crude Oil trades below $70

Oil Services Holders Trust (OIH) overall option implied volatility of 31 compares to its 26-week average of 22.

United States Oil Fund (USO) overall option implied volatility of 32 compares to its 26-week average of 21.

iPath S&P GSCI Crude Oil Total Return (OIL) overall option implied volatility of 35 compares to its 26-week average of 21.

ProShares Ultra DJ-UBS Crude Oil (UCO) overall option implied volatility of 66 compares to its 26-week average of 35.

Options expected to be active @ CBOE:  BP XOM CVX RDS.A TOT EOG CEO

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.11; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 36.02, compared to its 50-day moving average of 28.95 WTI Crude oil trades below $70 into OPEC meeting. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 139.26, compares to its 50-day moving average of 128.42. 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 1069.36 compared to its 10-day moving average of 1069.38 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.35 compared to its 50-day moving average of 262.59 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 15.32, compared to its 50-day moving average of 17.11 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.12, compared to its 10-day moving average of 11.21 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.04; compared to its 50-day moving average of 41.97.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.95.

CBOE Volatility Index (VIX) at 12.07, compared to its 50-day moving average of 15.71. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 8c to $207.56 as WTI Crude oil trades below $70 stocks.

Calls with increasing volume at CBOE:

EEM    3/20/2015    38   15K contracts
USO  11/28/2014  27.50 9K
COP  11/28/2014    72    8K
SPY   11/28/2014  207    8K
AAPL 11/28/2014 118    8K
XLE   12/20/2014    83    7K
EOG 12/20/2014    90    6K
CDK 12/20/2014    35    6K