Blogging Options: CBOE Morning Update 12.17.14

CPI for November dropped 0.3% due to falling energy prices.  Core Rate (-Food & Energy) rose 1.7%, close to in-line.  Stocks added to early gains after this report.  Fed Minutes later this morning.  Ruble still center-stage today.  Volatility as an asset class

Market-Vector Russia ETF Trust (RSX) is down 12c to $14.26 in the premarket as Russian ruble weakens. Overall option implied volatility of 61 is above its 26-week average of 29.

FedEx (FDX) is off $6.06 to $168.20 after reporting Q2 profit rising less than expeected. December call option implied volatility is at 47, January is at 29, April is at 25; compared to its 26-week average of 22.

Joy Global (JOY) is down $0.95 to $45.10, reporting better than expected Q4 EPS and light 2015 outlook. December call option implied volatility is at 87, January is at 46, April is at 37; compared to its 26-week average of 28.

Options expected to be active at CBOE: RSX DRI FDX JOY GLD VIX

CBOE Interest Rate 5 Year Note (FVX) @ 15.26 into Federal Reserve policy meeting decision

CBOE S&P 500 PutWrite Index (PUT) at 1393.05; 50-day moving average is 1433.46 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.44, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 55.77, compared to its 50-day moving average of 34.40, WTI Crude oil trades $54.
cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.21, compares to its 50-day moving average of 128.47. 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 1028.75 compared to its 10-day moving average of 1057.15 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 252.99 compared to its 50-day moving average of 260.87 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 24.06; compared to its 50-day moving average of 17.76.

CBOE 3-Month Volatility Index (VXV) at 23.10, compared to its 50-day moving average of 17.61 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 24.25, compared to its 10-day moving average of 17.85 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 46.87; compared to its 50-day moving average of 41.86.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 38c to 34.25.

CBOE Volatility Index (VIX) at 23.57, compared to its 50-day moving average of 16.07. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 90c to $198.81.  Russia’s Ruble was volatile in early trading today after the country’s Finance Ministry announced plans to begin selling its excess foreign-exchange holdings.

Calls with increasing volume at CBOE:
SPY  12/26/2014 202     20K contracts
AA      1/17/2015    17    18K
XOM  1/17/2015 92.50 13K
COP   1/17/2015 67.50 12K
PFE  12/20/2014     30   11K