Blogging Options: CBOE Morning Update

Volatility as an asset class

Bond and treasury ETF volatility is elevated suggesting large price movement on September Non-Farm Payrolls rise 103,000 vs. consensus 60,000 and September U.S. unemployment rates remains at 9.1%.
 
Proshares UltraShort 20+ Year Treasury ETF (TBT) is recently up 51c to $20.30 in pre-open trading. Overall option implied volatility of 47 is above its 26-week average of 34.
 
IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 1.60 to $117.52 in pre-open trading. Overall option implied volatility of 24 is above its 26-week average of 17.

ProShares UltraShrt Lehman 7-10 Yr ETF (PST) over all option implied volatility of 20 is above its 26-week average of 18.
 

CBOE significant put volume increases
 
C1 1/21/2012 2.5 50K contracts
AEO 1/21/2012 12 17K
BAC 1/21/2012 7.5 6K
AAPL 10/7/2011 375 4K
STJ 1/21/2012 42.5 4K
MS 10/22/2011 13 3K


Employment number surprises on upside. Gain of 103k beats street estimate of +60k.

July & Aug revised higher. (Santelli estimate of +88k closest of talking heads this morning.)

Futures like payroll data, S&P Future goes from flat to +10.