Blogging Options: CBOE Morning Update 1.6.15

US stock futures up fractionally this morning.  10-year ticked below 2%, and WTI was off 2.01% to $49.05.  17.6 million options trade yesterday, with SPX at 1.17mm and VIX near 500K.  SPY showed 3.275mm contracts change hands. VIX closed 19.92 yesterday, could be interesting watch this week.  Good article from Russell Rhoads on VIX activity yesterday – scroll down to the previous article. Volatility as an asset :

Options: Technology stocks option implied volatility is mixed into International CES (Consumer Electronics Show) opening in Las Vegas.

GoPro (GPRO) overall option implied volatility of 58 compares to its 26-week average of 56.

Ambarella (AMBA) overall option implied volatility of 61 compares to its 26-week average of 53.

HP (HPQ) overall option implied volatility of 27 compares to its 26-week average of 25.

BlackBerry (BBRY) overall option implied volatility of 50 compares to its 26-week average of 52.

Sony (SNE) overall option implied volatility of 34 compares to its 26-week average of 28.

Google (GOOG) overall option implied volatility of 26 compares to its 26-week average of 22.

Options expected to be active at CBOE: XOOM AOL STZ MU BBBY CMC XOM CVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.23, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 57.67, compared to its 50-day moving average of 40.18, WTI Crude oil trades below $50. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.79, compares to its 50-day moving average of 130.06. 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 1067.32 compared to its 10-day moving average of 1068.47 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 261.57 compared to its 50-day moving average of 262.22 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 20.72; compared to its 50-day moving average of 16.75.

CBOE 3-Month Volatility Index (VXV) at 20.80, compared to its 50-day moving average of 17.26 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 19.45, compared to its 10-day moving average of 14.15 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 44.93; compared to its 10-day moving average of 40.14.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 33c to 32.88.

CBOE Volatility Index (VIX) at 19.92, compared to its 50-day moving average of 15.15 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 47c to $202.26 as WTI crude trades below $49 a barrel.

Calls with increasing volume at CBOE:

SPY   1/30/2015  206.50 26K contracts
VXX   2/13/2015     50    14K
FXI     1/17/2015     43     8K
AAPL   1/9/2015    110    7K

Puts with increasing volume at CBOE:

XLE  1/17/2015   75  46K contracts
SPY  1/17/2015 202  27K
XLU  1/17/2015  45   17K
XLF   3/20/2015  18   16K