Blogging Options: CBOE Morning Update 12.9.14

Greek shares off over 10% (bailout talks faltering and elections announced), Chinese shares in Shanghai lower by ~6% (tightened collateral rules) have US stock futures on edge.  European shares off ~1.5%, Gold higher, 10-year 2.23%.  Over 20 K VIX Futures trade in early session this morning.   JOLTS at 9am CDT. TMUS with interesting Convertible Preferred announced after the close. Volatility as an asset class

VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) at 28.47, compared to its 50-day MA is 24.71 as FXI sells off 2.9%.

Verizon (VZ) is down $1.25 to $47.65 in the premarket after reporting that it expects Q4 impacts of promotional offers will pressure wireless EBITDA and EPS. Overall option implied volatility of 15 is  at its 26-week average.

AutoZone (AZO) is up $17.96 to $599.01 in the after reporting Q1 EPS $7.27, compared to consensus $7.16. December call option implied volatility at 22, January and March is at 17; compared to its 26-week average of 19.

Diamond Foods (DMND) is up $0.29 to $29.30 in the premarket after reporting better than expected Q1 EPS and backed FY15 EPS view 90c-$1.10, consensus $1.03. December call option implied volatility is at 62, January is at 44, March is at 39; compared to its 26-week average of 38.

Options expected to be active @ CBOE: DMND AAPL MW KKD AZO COST HRB PBY TMUS BXP CBST

CBOE Equity Options Volume 1,240,062 calls, 764,250 puts, 2,004,312 total CBOE.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 4.82, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 39.68, compared to its 50-day moving average of 31.36, WTI Crude oil trades below $65. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 137.62, compares to its 50-day moving average of 127.69. 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 1067.94 compared to its 10-day moving average of 1066.52 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.93 compared to its 50-day moving average of 261.83 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.03; compared to its 50-day moving average of 17.46.

CBOE 3-Month Volatility Index (VXV) at 16.79, compared to its 50-day moving average of 17.20 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.47, compared to its 10-day moving average of 12.34 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 36.61; compared to its 50-day moving average of 41.68.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.33 to 28.38.

CBOE Volatility Index (VIX) at 14.21, compared to its 50-day moving average of 15.60. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 1.61 to $205 as the Shanghai Composite Index sold off the most since 2009

Calls with increasing volume at CBOE:

AMAT 4/17/2015  26  31K  contracts
IWM   1/17/2015 121 15K
BAC  12/20/2014   18 13K
PBR    4/17/2015   11 12K
MRK   2/20/2015   60 11K
VXX 1/17/2015 33 10K
MRK 1/17/2015 57.50 9K