Blogging Options: CBOE Morning Update 12.31.14

US Stock futures up fractionally, Weekly Claims rise a little more than expected, Crude drops again, trading below $53 per bbl.  Kink Abdullah of Saudi Arabia reportedly hospitalized for tests mat be adding to price instability.  10-year 2.18%. Regular trading hours today.  Volatility as an asset class:

Chevron (CVX) is down 60c to $112.51 in the premarket as WTI Crude Oil trades below $54. January call option implied volatility is at 30, March at 23; compared to its 26-week average of 20.

Exxon Mobil (XOM) is off 37c to $92.65,  January call option implied volatility is at 22, March is at 21; compared to its 26-week average of 19.

ConocoPhillips (COP) is up 26c to $70.19. Overall option implied volatility of 30 compares to its 26-week average of 20.

BP (BP) is up 23c to $38.59 in the premarket. January call option implied volatility is at 28, March is at 26; compared to its 26-week average of 19.

Options expected to be active at CBOE: AAPL GRPO FB

Equity Options volume at CBOE: 659,330 calls, 437.283 puts, 1,096,613 total
CBOE S&P 500 PutWrite Index (PUT) at 1463.90, 50-day moving average is 1439.56 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.41, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 51.17, compared to its 50-day moving average of 38.68, WTI Crude oil trades below $54. cboe.com/OVX
CBOE S&P 500 Skew Index (SKEW) at 136.38, compares to its 50-day moving average of 129.79. 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 1085.36 compared to its 10-day moving average of 1073.77 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 265.85 compared to its 50-day moving average of 261.92 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.97; compared to its 50-day moving average of 16.73.

CBOE 3-Month Volatility Index (VXV) at 18, compared to its 50-day moving average of 17.19 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.86, compared to its 10-day moving average of 14.34 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 39.47; compared to its 50-day moving average of 48.12.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 24c to 28.96.

CBOE Volatility Index (VIX) at 15.92, compared to its 50-day moving average of 15.06 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 46c to $208.06 as Shanghai stocks are closing 2014 as the world’s top-performing major equity market. The Shanghai Composite Index ended up 52% for the year, as hopes for more aggressive policy stimulus to counter its economic slowdown boosted banks and brokerages.

Calls with increasing volume at CBOE:

SPY 12/31/2014  210 23K contracts
JPM   3/20/2015    60 11K
BBY   2/20/2015      40 9K
AAPL   1/2/2015    114 7K
EMC  1/17/2015      32 6K