Blogging Options: COE Morning Update 12.30.14

Quiet overnight – Asia and Europe off ~1% –  as traders watch Greece and Brent Crude. 10-Year at 2.17%, 30-Year at 2.74%. Little economic news to push stocks today. TSLA off on light volume as China expected to extend tax credits on battery powered vehicles for an additional 4 years.  Full trading schedule tomorrow, New Years Eve.  Volatility as an asset class

Option implied volatility stays elevated for oil ETF’s as WTI Crude Oil trades at five-and-half year lows on oversupply

Energy Select Sector SPDR (XLE) overall option implied volatility of 25 compares to its 26-week average of 22.

Oil Services Holders Trust (OIH) overall option implied volatility of 32 compares to its 26-week average of 23.

United States Oil Fund (USO) overall option implied volatility of 47 compares to its 26-week average of 26.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) overall option implied volatility of 44 compares to its 26-week average of 28.

Options expected to be active at CBOE: RSX UNG XLE PBR MU NEM CVEO AAPL

Equity Options volume at CBOE: 715,893 calls, 460.147 puts, 1,176,040 total

CBOE S&P 500 PutWrite Index (PUT) at 1465.97, 50-day moving average is 1438.20 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.66, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 53.63, compared to its 50-day moving average of 38.28, WTI Crude oil trades below $54. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.60, 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 1086.94 compared to its 10-day moving average of 1068.99 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.99 compared to its 50-day moving average of 261.74 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.80; compared to its 50-day moving average of 16.85.

CBOE 3-Month Volatility Index (VXV) at 17.25, compared to its 50-day moving average of 17.26 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.79, compared to its 10-day moving average of 15.07 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.46; compared to its 50-day moving average of 40.38.

iPath S&P 500 VIX Short-Term Futures (VXX) is up 23c to 28.74.

CBOE Volatility Index (VIX) at 15.06, compared to its 50-day moving average of 15.18 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 49c to $208.23 as oil stocks pull back as crude trends lower.

Calls with increasing volume at CBOE:
SPY    1/17/2015  212 18K contracts
XLF    1/15/2016    30 12K
IWM 12/31/2014 121 10K
KO     1/15/2016    50   9K
BBY   2/20/2015    40   8K