Blogging Options: CBOE Morning Update 12.1.14

Japan rating lowered by 2 notches at Moody’s and OPEC’s decision to not curtail production the talk of the trading floor.  Oil producing countries currencies getting hit, slower growth in China and Europe all leaning on US stock futures.  Volatility as an asset class

Cyber Monday retailers option implied volatility is at low end of range.

Amazon.com (AMZN) overall option implied volatility of 37 compares to its 26-week average of 29.

eBay (EBAY) overall option implied volatility of 28 is near its 26-week average of 29.

Wal-Mart (WMT) option implied volatility of 12 compares to its 26-week avg. of 14.

Target (TGT)  option implied volatility of 16 compares to its 26-week avg. of 17.

Macy’s (M)  option implied volatility of 24 compares to its 26-week average of 24.

VIX methodology for Amazon (VXAZN) at 28.60, below its 50-day moving average of 33.09 into Cyber Monday cboe.com/VXAZN

VIX methodology for Apple (VXAPL)at 25.78, near its 50-day moving average of 25.36. cboe.com/VXAPL

Options expected to be active @ CBOE:  CLR BP XOM EOG CVX RDS.A AMZN EBAY RIG SDRL VOD

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 36.43, compared to its 50-day moving average of 29.30 WTI Crude oil trades below $70.
cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.89, compares to its 50-day moving average of 128.22. 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 1067.06 compared to its 10-day moving average of 1069.03 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.17 compared to its 50-day moving average of 262.41 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.74; compared to its 50-day moving average of 17.52.

CBOE 3-Month Volatility Index (VXV) at 15.95, compared to its 50-day moving average of 17.14 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.98, compared to its 10-day moving average of 11.31 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37; compared to its 50-day moving average of 41.97.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 27.95.

CBOE Volatility Index (VIX) at 13.33, compared to its 50-day moving average of 15.73. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 94c to $206.26 as retail spending over this year’s four-day Thanksgiving weekend fell 11% to $50.9B according to the National Retail Federation.