Blogging Options: CBOE Mid-Day 12.15.14

Wild ride today as the DJIA was up and then down 100 points within the first 90 minutes of trading.  Over 16 million option contracts trade in the first five hours.  1 million+ SPX contracts and 700K VIX option contracts, with 308K VIX futures changing hands.   Volatility as an asset class

iPath S&P GSCI Crude Oil Total Return (OIL) is down 0.50 to $13.20 as WTI crude oil trades below $57.  Overall option implied volatility of 60 compares to its 26-week average of 25.

Energy Select Sector SPDR (XLE) is off 0.40 to $73.61. December call option implied volatility is at 47, January is 38, March is at 33; compared to its 26-week average of 20.

ProShares Ultra DJ-UBS Crude Oil (UCO) is recently down 0.80 to $11.31.   Overall option implied volatility of 90 compares to its 26-week average of 38.

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 1.5% to 40, WTI below $57

CBOE Crude Oil Volatility Index (OVX) up 13.5% to 56.55 WTI oil trades below $57


Options with increasing volume @ CBOE: RVBD AGCO FRO CRUS UBNT LH PAY PETM OREX KOS

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) down 32c to 6.29; 52-week low 1.69, high 14.58

CBOE Volatility Index (VIX) is off slightly, after hitting 24.83; December 20 and 21 calls are active on total volume of 356K

iPath S&P 500 VIX Short-Term Futures (VXX) is up 1c to 33.95

CBOE S&P 500 Short-Term Volatility Index (VXST) is up 78c to 24.71; compared to its 10-day moving average of 17.05

CBOE DJIA BuyWrite Index (BXD) is down 1.76 to 254.34 compared to its 50-day moving average of 261.14

S&P 100 Options (OEX) recently is recently down 8.16 to 877.66 as WTI slips below $57 barrel and Russian stocks approach six-year lows.