Blogging Options: CBOE Mid-Day Update 12.12.14

Big option volume day as stock futures trade off today’s lows.  ~13.6m contracts change hands near noon CST, with SPX options (847K) and VIX (922K) being active.  VIX Futures added on to pre-market interest as 306K futures traded.  Crude stocks still getting hit.  Volatility as an asset class:

iPath S&P GSCI Crude Oil Total Return (OIL) is down $0.45 to $13.76 as WTI crude oil trades near $58.  Overall option implied volatility of 41 compares to its 26-week average of 25.

Energy Select Sector SPDR (XLE) rallied $0.85 off its lows and stood at $74.94, off $0.51.  December call option implied volatility is at 40, January is 36, March is at 31; compared to its 26-week average of 20.

ProShares Ultra DJ-UBS Crude Oil (UCO) is recently down $0.78 to $12.14. Overall option implied volatility of 76 compares to its 26-week average of 37.

CBOE Gold Volatility Index (GVZ) up 1.1% to 19.26, GLD down 5c to $117.62 cboe.com/GVZ

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 7.4% to 33.62, WTI @ $61 cboe.com/micro/VIXETF/VXXLE/

CBOE Crude Oil Volatility Index (OVX) +12% to $50.71, WTI oil trades below $59 cboe.com/OVX

Active options at CBOE: AAPL NFLX PBR AMZN PBR NFLX C TSLA TWTR VIX SPX SPY

Options with increasing volume @ CBOE: CY CWB DYN WIN SAVE XDE PDLI CP HUN MHK SSTK

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 70c to 6.58; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 0.62 to 20.70 after a short trip above 21; December 20 and 25 calls are active on total volume of 724K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.40 to 33.60

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 23.77 to 23.70; compared to its 10-day moving average of 16.02 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 2.57 to 257.74 compared to its 50-day moving average of 261.41 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 8.26 to 893 as WTI crude oil is at fresh lows as WTI slips below $58 barrel for a 2.9% decline on the day.