Blogging Options: CBOE Morning Update 12.10.14

Economic news overseas not great this morning, but overseas markets steady (Asia mixed, Europe fractionally higher) after yesterday’s selloff.  Metals lower, 10-year 2.22%.  Chicago baseball fans prepare for subway series after signing pitchers.  Volatility as an asset class:

Costco (COST) is up $1.50 to $144.54 in the premarket after reporting better than expected Q1 EPS of $1.12 and Q1 SSS up 5%.  December call option implied volatility is at 16, January is at 15, April is at 14; compared to its 26-week average of 16.

Yum! Brands (YUM) is down $3.62 to $71.60, after saying its sees 10% EPS growth in 2015. Overall option implied volatility of 33 compares to its 26-week average of 23.

United States Oil Fund (USO) is down $0.55 to $23.65 in the premarket as WTI oil trades below $63. December weekly call option implied volatility is at 40, December and January is at 36; compared to its 26-week average of 22.

VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) @ 28.64, compared to its 50-day MA is 24.76 as FXI moves up 32c to $40.61.

Options expected to be active @ CBOE: COST TOL KKD TITN USO XLE YUM

CBOE Equity Options Volume 996,670 calls, 774,691 puts, 1,771,361 total CBOE.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 37.66, compared to its 50-day moving average of 31.46, WTI Crude oil trades below $63. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 136.69, compares to its 50-day moving average of 127.79. 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 1068.02 compared to its 10-day moving average of 1066.38 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 262.57 compared to its 50-day moving average of 261.74 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.43; compared to its 50-day moving average of 17.42.

CBOE 3-Month Volatility Index (VXV) at 16.89, compared to its 50-day moving average of 17.21 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.27, compared to its 10-day moving average of 12.35 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 37.10; compared to its 50-day moving average of 41.59.

iPath S&P 500 VIX Short-Term Futures (VXX) at 27.44.

CBOE Volatility Index (VIX) at 14.89, compared to its 50-day moving average of 15.58. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 32c to $206.15 on a final agreement has been reached on a $1.1T U.S. spending bill that would prevent a government shutdown.

Calls with increasing volume at CBOE:

SPY     1/17/2015 220 15K contracts
VZ       1/17/2015   47 12K
EEM    3/20/2015   44 10K
AAPL 12/12/2014 115 10K
BAC   12/20/2014   18   7K