Blogging Options: CBOE Morning Update 1.2.15

2014 ended the year showing a gain for the DJIA of ~7% and the SPX & NDX of 11%.  Great recap of 2014 Volatility by Russell Rhoads on VIX and several sectors in yesterdays posts.

Stock Futures modestly higher as we begin trading in 2015.  WTI and Brent Crude down 2% to 3%.  Overseas markets soft.  Asian markets lower as Chinese economic news shows a stagnating economy, while European Purchasing Managers shows similar.  ISM report due out at 900am CST.  VIX Futures with light extended hours volume.  Drillers seem to be the one sector lower this morning, while homebuilders mostly higher.  Not much else expected on the earnings or economic front today.  Volatility as an asset class:

The S&P 500 Top Ten Best Performers of 2014 have mixed option implied volatility

Southwest Airlines (LUV) overall option implied volatility of 34 compares to its 26-week average of 28.

Electronic Arts (EA) overall option implied volatility of 32 compares to its 26-week average of 30.
Edwards Lifesciences (EW) overall option implied volatility of 29 compares to its 26-week average of 27.

Allergan (AGN) overall option implied volatility of 27 compares to its 26-week average of 28.

Avago Tech (AVGO) overall option implied volatility of 34 compares to its 26-week average of 33.
Options expected to be active at CBOE: CLF MU BBBY CMC LINE NOK

CBOE S&P 500 PutWrite Index (PUT) at 1455, 50-day moving average is 1440.34 www.cboe.com/PUT

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.35, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 50.24, compared to its 50-day moving average of 39.10, WTI Crude oil trades near $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 1079.30 compared to its 10-day moving average of 1078.82 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 264.37 compared to its 50-day moving average of 262.05 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 19.64; compared to its 50-day moving average of 16.72.
CBOE 3-Month Volatility Index (VXV) at 19.75, compared to its 50-day moving average of 17.20 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 18.95, compared to its 10-day moving average of 13.81 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 42.70; compared to its 10-day moving average of 39.75.

iPath S&P 500 VIX Short-Term Futures (VXX) is down 1.03 to 30.45.

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 64c to $206.18 after a strong 2014 and mixed December.