Blogging Options: CBOE Morning Update 12.24.14

Holiday shortened trading schedule today in US, Europe on early schedule as well.  Weekly Claims with a slight drop. Crude lower.  US Futures up modestly. Volatility as an asset class:

Large Cap oil Services Company’s volatility is elevated as WTI Crude oil trades below $56

Baker Hughes (BHI) overall option implied volatility of 36 compares to its 26-week average of 28.

Halliburton (HAL) overall option implied volatility of 38 compares to its 26-week average of 29.

National Oilwell (NOV) overall option implied volatility of 28 compares to its 26-week average of 25.

Schlumberger (SLB) overall option implied volatility of 29 compares to its 26-week average of 25.

Options expected to be active at CBOE: ACHN JNJ CALM BP

CBOE S&P 500 PutWrite Index (PUT) at 1461.76, 50-day moving average is 1434.42 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.56, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.97, compared to its 50-day moving average of 37.17, WTI Crude oil trades below $56  cboe.com/OVX

CBOE Volatility Index (VIX) at 14.80, compared to its 50-day moving average of 15.79. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 35c to $208.10 as U.S. benchmark indices closed at record highs yesterday,

Calls with increasing volume at CBOE:

NQ    1/15/2016    5      20K contacts
MET  1/15/2016  57.50 20K
NSM 1/17/2015   35    15K
EMC  1/17/2015   30    14K
XLF    1/17/2015   25    10K
APOL 1/17/2015 31 9K
IWM 12/26/2014 121 8K