Blogging Options: CBOE Morning Update 12.12.14

November PPI fell 0.2% (gasoline accounted for over half of the drop – flat expected) Core Rate was flat.  Oil being hammered again ON IEA lowering oil price forecast again.  Overseas markets down sharply, US following.  Jan WTI trading $58.50.  10-year near 2.12%. VIX Futures active in pre-market with 59K contracts traded.  Volatility as an asset class:

Adobe (ADBE) is up $4.17 to $73.90 in the premarket after reporting first quarter results and that it will acquire Fotolia for approximately $800M in cash. December call option implied volatility is at 45, January is at 31, April is at 28; compared to its 26-week average of 29.

SeaWorld (SEAS) is up $021 to $16.30  after announcing a restructuring program, job cuts and Chairman David D’Alessandro named Interim CEO. Overall option implied volatility of 39 is near its 26-week average of 38.

United Technologies (UTX) is down $2.00 to $112.05 in the premarket after providing fiscal 2014 and fiscal 2015 guidance. December call option implied volatility is at 22, January is at 19; compared to its 26-week average of 18.

Options expected to be active @ CBOE: ADBE UTX XLE USO UNG XLE XOM UCO OIL.

CBOE Equity Options Volume 928,958 calls, 664,359 puts, 1,593,317 total CBOE.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.88, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 44.95, compared to its 50-day moving average of 32.53, WTI Crude oil trades below $60. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 130.72, compares to its 50-day moving average of 128.01. 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 1058.43 compared to its 10-day moving average of 1065.05 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 260.32 compared to its 50-day moving average of 261.53 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.39; compared to its 50-day moving average of 17.47.

CBOE 3-Month Volatility Index (VXV) at 20.72, compared to its 50-day moving average of 17.30 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 22.08, compared to its 10-day moving average of 14.94 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 43.47; compared to its 50-day moving average of 41.58.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.08 to 33.28.

CBOE Volatility Index (VIX) at 20.08, compared to its 50-day moving average of 15.69. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 1.29 to $202.90 as energy pull back to fresh 70-month lows.

Calls with increasing volume at CBOE:

SPY  1/17/2015 215 17K contacts
VXX    12/20/14   31 10K
AAPL 12/12/14 114 10K