Blogging Options: CBOE Morning Update 12.11.14

Retail Sales rose this morning, aided by Auto Sales (+1.7%).  Overseas markets not doing as well, talk of more problems in Greece hurting Asian stocks.  OIL off an additional 1%.  Volatility as an asset class

The ‘Majors’ option implied volatility is elevated as WTI Crude Oil futures trade below $62

Exxon Mobil (XOM)  option implied volatility of 24 compares to its 26-week average of 18.

BP (BP) overall option implied volatility of 28 compares to its 26-week average of 17.

ConocoPhillips (COP) option implied volatility of 43 compares to its 26-week average of 19.

Chevron (CVX) overall option implied volatility of 29 compares to its 26-week average of 17.

Total (TOT) overall option implied volatility of 26 compares to its 26-week average of 18.

Eni SpA (E) overall option implied volatility of 42 compares to its 26-week average of 25.

Options expected to be active @ CBOE: LULU CIEN RH AET ATHN XOM CVX SPX IWM

CBOE Equity Options Volume 1,002,145 calls, 743,328 puts, 1,745,473 total CBOE.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.49, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 42.21, compared to its 50-day moving average of 32.13, WTI Crude oil trades below $62. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 130.88, compares to its 50-day moving average of 127.66. 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 1053.87 compared to its 10-day moving average of 1067.07 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 259.35 compared to its 50-day moving average of 261.59 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.46; compared to its 50-day moving average of 17.45.

CBOE 3-Month Volatility Index (VXV) at 19.14, compared to its 50-day moving average of 17.24 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.71, compared to its 10-day moving average of 13.84 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 40.97; compared to its 50-day moving average of 41.56.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 23c to 30.10.

CBOE Volatility Index (VIX) at 18.53, compared to its 50-day moving average of 15.63. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 38c to $203.54 as energy prices stabilize at five-year lows.

Calls with increasing volume at CBOE:

EFA     1/17/2015   63 64K contracts
ODP    1/17/2015     8 47K
SPY   12/20/2014 208 19K
EEM    1/17/2015   40 18K
AAPL 12/12/2014 115 11K
F        12/20/2014   16 10K