Blogging Options: CBOE Morning Update 12.3.14

ADP Employment Report for November showed a less than expected growth of 208K jobs (mid-220’s expected).  Several Retailers in the news.  Abercrombie (ANF) up $0.15 on good sales but cautious guidance, TJX up $1 on light volume after an upgrade, TGT lawsuits continue.  10-year still below 2.3%.  ISM later this morning. Volatility as an asset class:

European energy stocks option implied volatility is elevated as Brent Crude Oil stabilizes at $71

BP (BP) overall option implied volatility of 33 is compares to its 26-week average of 17.

Statoil (STO) overall option implied volatility of 32 compares to its 26-week average of 22.

Eni SpA (E) overall option implied volatility of 36 compares to its 26-week average of 24.

Total (TOT) overall option implied volatility of 24 compares to its 26-week average of 21.

Options expected to be active @ CBOE:  TASR AEO ANF SDRL BP XOM ICPT BIIB

CBOE Equity Options Volume 953,300 calls, 615,297 puts, 1,568,597 total cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.35, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 38.57, compared to its 50-day moving average of 30.05, WTI Crude oil trades below $68. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 121.64, compares to its 50-day moving average of 127.49. 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 1068.08 compared to its 10-day moving average of 1068.26 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.82 compared to its 50-day moving average of 262.14 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.66; compared to its 50-day moving average of 17.58.

CBOE 3-Month Volatility Index (VXV) at 15.96, compared to its 50-day moving average of 17.21 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.57, compared to its 10-day moving average of 11.75 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.43; compared to its 50-day moving average of 41.98.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.73.

CBOE Volatility Index (VIX) at 12.85, compared to its 50-day moving average of 15.76. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 4c to $207.12 as WTI Crude oil stabilizes at $68.

Calls with increasing volume at CBOE:
AAPL  12/5/2014  115 8K contracts
QQQ   1/17/2015 107 8K
CSCO  2/20/2015   29 8K
SPY     12/5/2014 207 6K