Blogging Options: CBOE Morning Update 12.29.14

Markets digesting the gains of the last few weeks.  Elections in Greece trying to pull markets lower this morning, and oil disruptions in Libya have Brent Crude trading higher.  Full trading schedule through Wednesday, trains empty on way in this morning.  Volatility as an asset class

Manitowoc (MTW) is up $2.09 to $23.01 in the pre-market after activist investor Carl Icahn revealed in a regulatory filing that he has taken a 7.7% stake in the maker of heavy cranes and food service equipment. Option implied volatility of 42 compares to 26-week average of 38.

Gilead (GILD) is up $2.03 to $95.82 in the premarket after Morgan Stanley upgraded the stock to Overweight from Equal Weight following the recent sell-off  in response to pharmacy benefits manager Express Scripts (ESRX) excluding the company’s hepatitis C treatment in most of its plans in favor of AbbVie’s (ABBV) lower-cost regimen. January weekly call option implied volatility is at 36, January is at 39, February is at 40; compared to its 26-week average of 35

Options expected to be active at CBOE: AMZN TWTR GILD MTW

CBOE S&P 500 PutWrite Index (PUT) at 1464.40, 50-day moving average is 1436.80

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.31, 52-week low 1.69, high 14.58

CBOE Crude Oil Volatility Index (OVX) at 54.68, compared to its 50-day moving average of 37.89, WTI Crude oil trades below $56.

CBOE S&P 500 Skew Index (SKEW) at 135.03, compares to its 50-day moving average of 129.70. 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 1085.70 compared to its 10-day moving average of 1064.64

CBOE DJIA BuyWrite Index (BXD) at 266.18 compared to its 50-day moving average of 261.48

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.27; compared to its 50-day moving average of 17.05.

CBOE 3-Month Volatility Index (VXV) at 17.15, compared to its 50-day moving average of 17.37

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.09, compared to its 10-day moving average of 16.17 VXST is a market-based gauge of expectations of 9-day

Velocity Share VIX Short Term ETN (VIIX) at 38.52; compared to its 50-day moving average of 40.70.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 23c to 28.82.

CBOE Volatility Index (VIX) at 14.50, compared to its 50-day moving average of 15.39
SPDR S&P 500 ETF Trust (SPY) is down 25c to $208.19 as oil advanced for the first time in three days, as an escalating conflict in Libya stoked worries about supply from the OPEC member.

Calls with increasing volume at CBOE Friday:

SPY   12/16/2016  185 44K contracts
AAPL 12/26/2014  114 20K
XLF      1/17/2015    23 20K
VXX      1/17/2015    30 10K