Blogging Options: CBOE Mid-Day Update 1.6.15

Markets turned lower mid-morning on continued weakness in oil prices.  DJIA off 175 points, S&P 500 (SPX) at ~1998, 10 points below 75-day Moving Average.  Option volume at mid-day was 11 mm contracts, SPX traded 600 K +, VIX Futures volume ~166 K.  10-year moves below 2%, NDX off 1.5%.  JPM off 3%,  AXP lower by 2.5%. Volatility as an asset class:

Options: Technology stocks option implied volatility has increased as stocks sell off into International CES opening

Nvidia (NVDA) overall option implied volatility of 31 is near its 26-week average of 30.

Garmin (GRMN) overall option implied volatility of 31 compares to its 26-week average of 27.

Intel (INTC) overall option implied volatility of 29 is at its 26-week average.

Cisco (CSCO) overall option implied volatility of 23 compares to its 26-week average of 20.

Microsoft (MSFT) overall option implied volatility of 23 is above its 26-week average of 21.

SanDisk (SNDK) overall option implied volatility of 37 compares to its 26-week average of 30.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 7% to 6.67; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Interest Rate 5-year T Note (FVX) down 7.1% to $14.55 as bonds trend to record highs

CBOE 30-Year Treasury Bonds (TYX) down 3.4% to 25.11 as Treasury’s rally to record

CBOE Crude Oil Volatility Index (OVX) up 1.5% to $58.55, WTI below $49 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2.7% to 33.26. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA GILD AMZN TWTR NFLX BAC TWTR

Options with increasing volume @ CBOE: SIRI MCD DD OHI CYTR BG RDC FRO HAR HBAN

CBOE Volatility Index (VIX) is recently up 1.51 to 21.43; January 16, 18 and 19 puts are active on total volume of 147K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.67 to 34.88

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 10.1% to 21.41; compared to its 10-day moving average of 14.91 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 1.98 to 259.61 compared to its 50-day moving average of 262.21 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 6.68 to 884.26 on European economic concerns and WTI crude oil trading below $49.