Blogging Options: CBOE Morning Update 12.4.14

US stock futures mixed as ECB leaves rates unchanged.  Weekly Jobless a tad higher than expected.  NFP Parroll Report main economic item traders watching. Oil prices fractionally lower.  10-year 2.275%.  Volatility as an asset class:

Disney (DIS) is up $).39 to $93.50 in the premarket after declaring an annual cash dividend of $1.15 per share, up 34%, or 29c per share. December call option implied volatility is at 16, January is at 15; compared to its 26-week average of 21.

Aeropostale (ARO) is down $0.57 to $2.52 after reporting Q3 results and a Q4 outlook. December call option implied volatility is at 94, January is at 65, April is at 63; compared to its 26-week average of 62.

Energy Select Sector SPDR (XLE) is down $0.66 to $81.30 in the premarket as WTI trades down 0.52% to $67.05. December weekly call option implied volatility is at 32, December is at 26; compared to its 26-week average of 18.

Options expected to be active @ CBOE: PBR DIS ALGT COST SHLD SEAS HE

CBOE Equity Options Volume 935,706 calls, 604,914 puts, 1,540,620 total cboe.com

CBOE Interest Rate 5 Year Note (FVX) 16.07 into November job report.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.14, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 36.16, compared to its 50-day moving average of 30.36, WTI Crude oil trades below $68. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 134.44, compares to its 50-day moving average of 127.53. 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 1070.48 compared to its 10-day moving average of 1067.83 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.20 compared to its 50-day moving average of 262.07 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.08; compared to its 50-day moving average of 17.55.

CBOE 3-Month Volatility Index (VXV) at 15.55, compared to its 50-day moving average of 17.20 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.16, compared to its 10-day moving average of 11.82 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 35.84; compared to its 50-day moving average of 41.90.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.60.

CBOE Volatility Index (VIX) at 12.47, compared to its 50-day moving average of 15.71. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 4c to $207.12 on hopes for Chinese and Japanese stimulus.

Calls with increasing volume at CBOE:

ABX     1/15/2016 20.00 14K contracts
BAC  12/20/2014 17.50  9K
AAPL  12/5/2014  116    8K
VXX    1/17/2015     30    7K
AMJ 12/20/2014     47    6K
CCE 1/17/2015 45 6K
IWM 12/31/2014 125 6K