Blogging Options: CBOE Morning Update 12.15.14

Oil market regains footing and stocks react positively.  Stock futures up nicely but off the highs, after Empire Fed report showed first contraction in the last two years in manufacturing.  Asian shares lower, Europe mixed to higher.  10-year 2.11%.  Dollar strong.  25 K VIX Futures trade this morning in early session, after 500 K Friday.  Volatility as an asset class:

Honeywell (HON) is up $0.72 to $96.70 in the premarket after saying “We expect 2015 to be another strong year for Honeywell with across the board growth in sales, margin, EPS, and free cash flow.” December call option implied volatility is at 28, January and March is at 22; compared to its 26-week average of 18.

Exxon Mobil (XOM) is up $1 to $87.60 as shares rebound from 14-month lows as WIT oil stabilizes at $58 and an upgrade. Overall option implied volatility of 27 is above its 26-week average of 15.

PetSmart (PETM) is up $3.58 to $81.25 in the premarket after being acquired by a consortium led by BC Partners for $83 per share in cash. Overall option implied volatility of 27 compares to its 26-week average of 25.

Options expected to be active @ CBOE: PETM JOY FDX BBRY ORCL VIX

CBOE Equity Options Volume 1,086,847 calls, 885,211 puts CBOE.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.61, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 49.77, compared to its 50-day moving average of 33.11, WTI Crude oil trades below $58. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.47, compares to its 50-day moving average of 128.13. 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 1043.54 compared to its 10-day moving average of 1063.62 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 256.13 compared to its 50-day moving average of 261.38 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 22.51; compared to its 50-day moving average of 17.55.

CBOE 3-Month Volatility Index (VXV) at 21, compared to its 50-day moving average of 17.38 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 23.82, compared to its 10-day moving average of 16.02 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 45.82; compared to its 50-day moving average of 41.64.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.51 to 32.38.

CBOE Volatility Index (VIX) at 21.08, compared to its 50-day moving average of 15.79. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 89c to $201.69 as energy pull back and European stocks stabilize.

Calls with increasing volume at CBOE:

ODP   1/17/2015       8  45K contracts
CY       1/17/2015    14  22K
SPY   12/12/2014  203  13K
AAPL 12/12/2014  111 11K
NBR     1/15/2016    20 10K
MET 3/20/2015 57.50 9K
C 12/20/2014 55 9K