Blogging Options: CBOE Morning Update 12.22.14

Overseas shares higher, US Dollar up against Euro.  GILD off sharply ($12) as AbbVie gets exclusive on a drug.  Lighter volume on Christmas holiday week begins.  Volatility as an asset class

The ‘Majors’ option implied volatilities has spiked as WTI Crude Oil futures trades $57

Exxon Mobil (XOM) overall option implied volatility of 18 compares to its 26-week average of 18.

BP (BP) overall option implied volatility of 26 compares to its 26-week average of 18.

ConocoPhillips (COP) overall option implied volatility of 31 compares to its 26-week average of 20.

Chevron (CVX) overall option implied volatility of 22 compares to its 26-week average of 18.

Marathon Oil (MRO) overall option implied volatility of 39 compares to its 26-week average of 24.

Options expected to be active at CBOE: HLF CZR BP SNE CHL WAG GILD SPX

CBOE S&P 500 PutWrite Index (PUT) at 1453.14, 50-day moving average is 1428.66 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.41, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 54.84, compared to its 50-day moving average of 36.22, WTI Crude oil trades $57. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 138.63, compares to its 50-day moving average of 128.82. 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 1077.89 compared to its 10-day moving average of 1056.81 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.38 compared to its 50-day moving average of 260.74 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.89; compared to its 50-day moving average of 17.74.

CBOE 3-Month Volatility Index (VXV) at 18.46, compared to its 50-day moving average of 17.72 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.77, compared to its 50-day moving average of 15.90 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 40.40; compared to its 50-day moving average of 41.79.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 59c to 29.31.

CBOE Volatility Index (VIX) at 16.48, compared to its 50-day moving average of 16.11. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 29c to $206.81 as world markets rallied for the third straight day following the Fed’s pledge to take a patient approach to raising interest rates.
Calls with increasing volume at CBOE:

SPY 12/20/2014 207 31K contracts
CBS 12/20/2014 55 22K
AAPL 12/20/2014 112 16K
FB 12/20/2014 80 13K