Blogging Optiions: CBOE Morning Update 12.26.14

Regular trading hours today but trains empty into work this morning.  Boxing Day holiday today, several major exchanges around world are closed  (England, Hong Kong, Australia, etc., and as St Stephens Day in South Africa). Futures higher, trying to add on to Wednesdays (light volume) higher close.  Brent Crude above $60 bbl, Nat Gas ticked below $3 this morning.  Russia says Ruble crisis over, so that’s good.  Volatility as an asset class:

Market-Vector Russia ETF Trust (RSX) is recently up 24c to $16.19 in the premarket as the Russian Ruble rises as the Russian economy appears to stabilize with energy prices. January call option implied volatility is at 57, February is at 51, May is at 45; compared to its 26-week average of 33.

Options expected to be active at CBOE: TSLA CZR MU HLF

CBOE S&P 500 PutWrite Index (PUT) at 1462.45, 50-day moving average is 1435.48 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.39, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 54.88, compared to its 50-day moving average of 37.52, WTI Crude oil trades below $57. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 135.64, compares to its 50-day moving average of 129.23.

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 1083.68 compared to its 10-day moving average of 1061.92 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.50 compared to its 50-day moving average of 261.23 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.46; compared to its 50-day moving average of 17.27.

CBOE 3-Month Volatility Index (VXV) at 17.25, compared to its 50-day moving average of 17.27 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.35, compared to its 10-day moving average of 17.17 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.16; compared to its 50-day moving average of 41.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 2c to 28.33.

CBOE Volatility Index (VIX) at 14.37, compared to its 50-day moving average of 15.62 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 43c to $208.21 as markets reopen after the Christmas holiday.

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