OVX Archives - CBOE Blogs

  • VIX | Blogging Options | Trader Talk | Jan 15, 2015, 12:43 PM

    CBOE Mid-Day Update 1.15.15

    CBOE Mid-Day Update 1.15.15

    Volatility as an asset class Citi (C) is recently down $1.24 to $47.83 on the money center sees FY15 revenue growth for Citicorp in low to mid-single digit percentage.  January weekly call option implied volatility is at 31, February is at 27, March is at 26; compared to its 26-week average of 22. Lennar (LEN) is recently down $3.40 to $42.37 on the home builder says it’s still in early stages of 'protracted, slow growth' housing recovery. February call option implied volatility is at[...]

  • VIX | Blogging Options | Trader Talk | Jan 14, 2015, 11:47 AM

    CBOE Mid-Day Update 1.14.15

    CBOE Mid-Day Update 1.14.15

    Volatility as an asset class JPMorgan (JPM) is down $2.54 to $56.29 after reporting Q4 EPS $1.19, consensus $1.31. January call option implied volatility is at 29, February is at 24, April is at 23, June is at 22; compared to its 26-week average of 19. Wells Fargo (WFC) is off 79c to $51.06 after reporting in line Q4 EPS of $1.02.  January call option implied volatility is at 23, February and April is at 20; compared to its 26-week average of 18. General Motors (GM), down 3% after giving 2015[...]

  • VIX | Blogging Options | Trader Talk | Jan 13, 2015, 11:49 AM

    CBOE Mid-Day Update 1.13.15

    CBOE Mid-Day Update 1.13.15

    Volatility as an asset class Costco (COST) is recently up 62c to $143.17 after Goldman Sachs downgraded citing the recent valuation expansion and its belief the retailer’s earnings momentum is close to peaking.  January call option implied volatility is at 17, February is at 16, July is at 15; compared to its 26-week average of 16. Monster Beverage (MNST) is recently up $3.97 to $115.93 after Stifel raised its price target on the stock and Wells Fargo downgraded the shares to Market Perform[...]

  • VIX | Blogging Options | Trader Talk | Jan 12, 2015, 11:32 AM

    CBOE Mid-Day Update 1.12.15

    CBOE Mid-Day Update 1.12.15

    Volatility as an asset class Auto manufacturer’s option implied volatility is mixed as the North American International Auto Show begins in Detroit. General Motors Co. (GM) over all option implied volatility of 27 compares to its 26-week average of 26. Toyota Motor Corp. (TM) over all option implied volatility of 20 compares to its 26-week average of 19. Tesla (TSLA) over all option implied volatility of 43 compares to its 26-week average of 46. Ford (F) over all option implied volatility of[...]

  • VIX | Blogging Options | Trader Talk | Jan 7, 2015, 12:00 PM

    CBOE Mid-Day Update 1.7.15

    CBOE Mid-Day Update 1.7.15

    Volatility as an asset class The 'Majors' option implied volatilities has increased as WTI Crude Oil futures trends below $48 Exxon Mobil (XOM) overall option implied volatility of 25 compares to its 26-week average of 18. BP (BP) overall option implied volatility of 31 compares to its 26-week average of 18. ConocoPhillips (COP) overall option implied volatility of 36 compares to its 26-week average of 20. Chevron (CVX) overall option implied volatility of 33 compares to its 26-week average[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 1:43 PM

    Oil Volatility in 2014

    Oil Volatility in 2014

    In 2013 it was gold, this year the price of oil took it on the chin and the result was the worst performance for the United States Oil ETF (USO – 20.36) since the dark days of 2008. There are all kinds of theories over what is actually going on in the energy markets. I’m going to keep mine to myself and focus on what the numbers say. With USO dropping 42% in 2014 and most of that coming in the fourth quarter the CBOE Crude Oil ETF Volatility Index (OVX – 50.24) reached levels not[...]

  • Market News | Blogging Options | Trade Ideas | Dec 24, 2014, 7:45 AM

    Blogging Options: CBOE Morning Update 12.24.14

    Blogging Options: CBOE Morning Update 12.24.14

    Holiday shortened trading schedule today in US, Europe on early schedule as well.  Weekly Claims with a slight drop. Crude lower.  US Futures up modestly. Volatility as an asset class: Large Cap oil Services Company’s volatility is elevated as WTI Crude oil trades below $56 Baker Hughes (BHI) overall option implied volatility of 36 compares to its 26-week average of 28. Halliburton (HAL) overall option implied volatility of 38 compares to its 26-week average of 29. National Oilwell[...]

  • Market News | Dec 23, 2014, 2:04 PM

    Review of Volatility in 2014 (Part 2) – Brazil VIX Hit 72.83; Oil VIX Hit 57.55

    Review of Volatility in 2014 (Part 2) – Brazil VIX Hit 72.83; Oil VIX Hit 57.55

    Dec. 22, 2014 – Looking back on commodity volatility and global volatility in 2014, I’d like to highlight a couple of volatility indexes that shot up to daily closing highs for the year – The CBOE Crude Oil ETF Volatility Index (OVX) closed at 57.55 on Dec. 15 as oil prices plummeted (the average daily close for the OVX this year is only 22.3), and The CBOE Brazil ETF Volatility Index (VXEWZ) closed at 72.83 on October 20, before the presidential election in Brazil (the average[...]

  • Market News | VIX | Blogging Options | Trader Talk | Dec 22, 2014, 11:51 AM

    CBOE Mid-Day Update 12.22.14

    CBOE Mid-Day Update 12.22.14

    Volatility as an asset class Gilead (GILD) option implied volatility has increased after Express Scripts (ESRX) will offer AbbVie's (ABBV) just approved hepatitis C regimen Viekira Pak. Gilead is recently down $15.95 to $92.84.  December weekly put option implied volatility is at 55, January is at 41; compared to its 26-week average of 34. Express Scripts is recently up 93c to $81.91.  January and February call option implied volatility of 19 compared\s to its 26-week average of 20. AbbVie's[...]

  • Market News | VIX | Trader Talk | Futures | Dec 20, 2014, 4:30 PM

    The Week in Gold and Oil Volatility - 12/15 through 12/19

    The Week in Gold and Oil Volatility - 12/15 through 12/19

    Gold volatility represented by GVZ dropped 5% last week and the price of gold as represented by GLD was down 2.25%. Now on to what people care about these days – The week over week price change for the United States Oil ETF (USO – 21.96) comes nowhere near telling the story from last week. From Friday to Friday USO was up 0.03 from 21.93 to 21.96. So why in the world is the OVX curve in backwardation and why was OVX up over 10% to close over 50.00 for the first time in over 3 years? Why,[...]

  • VIX | Blogging Options | Trader Talk | Dec 17, 2014, 12:04 PM

    CBOE Mid-Day Update 12.17.14

    CBOE Mid-Day Update 12.17.14

    Volatility as an asset class Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 66c to $46.22 into the FOMC policy statement.  December call option implied volatility is at 37, January is at 27, March is at 26; compared to its 26-week average of 24. IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 93c to $126.68.  Overall option implied volatility of 15 is above its 26-week average of 11. Whirlpool (WHR) is recently up $9.28 to $183.82 on targeting to[...]

  • Market News | VIX | Trader Talk | Futures | Dec 13, 2014, 1:00 PM

    The Week in Gold and Oil Volatility - 12/8 - 12/12

    The Week in Gold and Oil Volatility - 12/8 - 12/12

    I recall when I totally ignored Oil in this space for gold, my how things have changed.   USO dropped over 12% last week which places the fund down about 38% in 2014. The result for OVX, as seen on the right side below, was a jump of 45% and a move near all-time highs. The front month December future, which settles on the open Wednesday morning, finished the week at a 2.72 point discount to the index, which indicates to me that a quick move down in OVX (and stabilization of oil prices)[...]

  • Market News | VIX | Blogging Options | Trader Talk | Dec 12, 2014, 1:10 PM

    Blogging Options: CBOE Mid-Day Update 12.12.14

    Blogging Options: CBOE Mid-Day Update 12.12.14

    Big option volume day as stock futures trade off today's lows.  ~13.6m contracts change hands near noon CST, with SPX options (847K) and VIX (922K) being active.  VIX Futures added on to pre-market interest as 306K futures traded.  Crude stocks still getting hit.  Volatility as an asset class: iPath S&P GSCI Crude Oil Total Return (OIL) is down $0.45 to $13.76 as WTI crude oil trades near $58.  Overall option implied volatility of 41 compares to its 26-week average of[...]

  • VIX | Blogging Options | Trader Talk | Dec 10, 2014, 11:46 AM

    CBOE Mid-Day Update 12.10.14

    CBOE Mid-Day Update 12.10.14

    Volatility as an asset class Las Vegas Sands (LVS) is recently down $1.94 to $54.17 after FBR lowered its estimates for LVS, Wynn Resorts (WYNN) and MGM Resorts (MGM) citing the 20% decline in Macau gross gaming revenue in November and a "soft" first week of December.  December call option implied volatility is at 36, January is at 32; compared to its 26-week average of 28. Wynn Resorts (WYNN) is recently down $8.15 to $148.49. December weekly call option implied volatility is at 42,[...]

  • VIX | Blogging Options | Trader Talk | Dec 9, 2014, 12:00 PM

    CBOE Mid-Day Update 12.9.14

    CBOE Mid-Day Update 12.9.14

    Volatility as an asset class Bank of America (BAC) is recently down 32c to $17.34 on the bank sees Q4 sales and trading revenue down linked-quarter, y/y. December call option implied volatility is at 19, January and February is at 20; compared to its 26-week average of 23. Citigroup (C) is recently down $1.19 TO $55.19 on the CEO sees $2.7B charges in Q4 to address legal reserve charges. December call option implied volatility is at 20, January is at 18, February is at 20; compared to its 26-week[...]