Blogging Options: CBOE Morning Update 12.16.14

Busy day yesterday as 19.8 million option contracts trade, with CBOE & C2 accounting for 7.2m.  SPX with 1.28m & VIX with 849K.  VIX Futures showed 417K contracts changing hands.  SPY active with 3.7m contracts trading.  VIX traded up to ~24 intra-day yesterday.  After the close Russia raised rates from 10.5% to 17%, 6th raise of ’14.  Ruble trading near 74, range overnight 60-80.  Russia Q3 growth 0.2% (Oil & vodka main exports?). Oil down again, investors looking at longer term charts looking for support levels.   Volatility as an asset class:

Market-Vector Russia ETF Trust (RSX) is down $0.92 to $13 in the premarket as Ruble value collapses to a record low. Overall option implied volatility of 61 is above its 26-week average of 29.

Boeing (BA) is up $1.42 to $123.50 in the premarket after raises its dividend 25% and authorizes a $12B share repurchase plan. Overall option implied volatility of 23 is near its 26-week average of 22.

3M Company (MMM) closed at $156.85 and indicated slightly higher into raising its Q1 dividend by 20% to $1.03 per share. December call option implied volatility is at 22, January and April is at 17; compared to its 26-week average of 17.

Options expected to be active @ CBOE: RSX VIP CTCM MTL YNDX MBT VIP EWG

CBOE S&P 500 PutWrite Index (PUT) at 1404.44; 50-day MA 1435.02 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 7.24, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 57.55, compared to its 50-day moving average of 33.78, WTI Crude oil trades below $55. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 135.12, compares to its 50-day moving average of 128.38. 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 1037.55 compared to its 10-day moving average of 1061.09 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 254.75 compared to its 50-day moving average of 261.14 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 22.08; compared to its 50-day moving average of 17.64.

CBOE 3-Month Volatility Index (VXV) at 21.06, compared to its 50-day moving average of 17.48 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 21.16, compared to its 10-day moving average of 15.86 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.77; compared to its 50-day moving average of 41.74.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.14 to 34.18.

CBOE Volatility Index (VIX) at 20.42, compared to its 50-day moving average of 15.91. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down $1.07 to $198.44 as the Russia Ruble has fallen to a fresh record low against the dollar this morning, only hours after a highly aggressive overnight move by the central bank to raise interest rates.

Calls with increasing volume at CBOE:

SPY 1/2/2015 206 75K contracts
XLE 1/17/2015 79 27K

Puts with increasing volume at CBOE:
SPY 12/20/2014 200 54K contracts
IWM 12/20/2014 115 19K