Blogging Options: CBOE Morning Update 2.17.15

After a strong move into the long weekend, stocks are retreating.  Talks collapsing in Greece are being blamed. Empire State business conditions fell over two points to 7.75, below estimates.  WM & MDT earnings bottom line beat expectations.  Oil and metals off fractionally, 10-year 2.03%. Volatility as an asset class:

National Bank of Greece (NBG) is down 24c to $1.37 on Greek bailout talks with the EU. Overall option implied volatility of 136 compares to its 26-week average of 83.

Global X FTSE Greece 20 ETF (GREK) is off $1.14 to $12.50. February call option implied volatility is at 93, March is at 81, April is at 61; compared to its 26-week average of 51.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) closed $53.32 as WTI oil rose 0.80% to $53.20. Overall option implied volatility of 46 compares to its 26-week average of 35.

VIX methodology for Apple (VXAPL) @ 25.87, AAPL @ record high cboe.com/VXAPL

CBOE Crude Oil Volatility Index (OVX) at 55.53, compared to its 50-day moving average of 53.46 WTI Crude oil @ $53. CBOE.com/OVX

Equity Options Volume 1,318,555 calls, 739,576 puts, 2,058,131 total cboe.com

Options expected to be active @ CBOE: VIPS GT NBG RSX RAX PCLN PBR

CBOE EuroCurrency Volatility Index (EVZ) at 11.61; compared to 50-day MA of 10.99

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) at 6.64 www.cboe.com/vxtyn

CBOE S&P 500 Skew Index (SKEW) at 126.04, compares to its 50-day moving average of 129.84. 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 95-110 Collar Index CLL @ 681: www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1087.16 compared to its 10-day moving average of 1082.42 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.32 compared to its 50-day moving average of 262.80 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.15 compared to its 50-day moving average of 18.76.

CBOE 3-Month Volatility Index (VXV) at 18.12, compared to its 10-day moving average of 19.65 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.76, compared to its 50-day moving average of 16.94, VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 41.82; compared to its 10-day moving average of 44.97.
iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 33c to 31.30

CBOE Volatility Index (VIX) at 14.69, compared to its 10-day moving average of 17.19 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.32 to $209.45 as Greece rejects EU proposal to extend existing bailout

Calls with increasing volume at CBOE:

PBR   3/20/2015      8 62K contracts
AAPL 2/13/2015 127 24K
SPY   2/13/2015 209.50 15K
IWM 2/20/2015  121 13K
MSFT 2/20/2015  43 10K