Blogging Options: CBOE Morning Update 12.23.14

US Stocks firmed in early trade after the Q3 GDP Final was revised higher to +5.0%.  Tempering the euphoria was November Durable Goods at -0.7% missing by mile (up 2.4% expected), X-Transports fell 0.4%, X-Defense dropped 0.1%.  Oil up 1.5%, European shares firm.  10-year 2.18%.  Volatility as an asset class:

Chesapeake Energy (CHK) is up $0.84 to $19.26 in the premarket after announcing a $1B stock repurchase authorization. Overall option implied volatility of 51 compares to its 26-week average of 44.

TripAdvisor (TRIP) is higher by $1.02 to $77.89 after being fined for misleading reviews in Italy. Overall option implied volatility of 35 compares to its 26-week average of 39.

Steelcase (SCS) is flat at $17,80 in the premarket after reporting inline Q3 results and sees Q4 4EPS 19c-23c, consensus 20c January call option implied volatility is at 39, April is 31, May is at 30; compared to its 26-week average of 32.

Options expected to be active at CBOE: CVX XOM BP USO UNG XLE GLD DAL LUV SCS

CBOE S&P 500 PutWrite Index (PUT) at 1460.04, 50-day moving average is 1433.29 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.44, 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 below $56  cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 136.61, compares to its 50-day moving average of 128.94. 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 1082.07 compared to its 10-day moving average of 1057.42 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 264.94 compared to its 50-day moving average of 260.85 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.54; compared to its 50-day moving average of 17.62.

CBOE 3-Month Volatility Index (VXV) at 17.59, compared to its 50-day moving average of 17.67 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.70, compared to its 50-day moving average of 15.72 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.45; compared to its 50-day moving average of 41.59.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 24c to 28.73.

CBOE Volatility Index (VIX) at 15.25, compared to its 50-day moving average of 15.99. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is higher by 0.33 to $207.80 as Arab OPEC producers expect global oil prices to rebound to $70-$80 a barrel by the end of next year as a global economic recovery revives demand.

Calls with increasing volume at CBOE:

DD    1/17/2015   74.50 28K contracts
COP  1/17/2015     70    26K
ARCP 1/17/2015      9    22K
NOK  1/17/2015    8.50 20K
XOM  1/17/2015  100    16K
SPY    1/17/2015   210   15K