Blogging Options: CBOE Morning Update

U.S. November payrolls rise 120,000, Unemployment rate falls to 8.6%.
Volatility as an asset class
CBOE Interest Rate 5 Year Note (FVX) up 3.1% to 10.01.
CBOE Interest Rate 10-year T-Note (TNX) up 1.2% to $21.44; above its 10-day moving average of 20.04.
CBOE 30-Year Treasury Bond (TYX) up 0.1% to $31.30.

CBOE Euro Currency Volatility Index (EVZ) closed at 16.27; above 50 day-moving average of 17.34.
CBOE Gold Volatility Index (GVZ) closed at $24.55; above 50-day MA of 30.34; gold above $1,754.
CBOE Volatility Index-VIX closed at 27.41; S&P 500 recently up 1.0%.

Stock Mover’s
Research in Motion (RIMM) is recently down 97c to $17.61 in pre-open trading on the company seeing Q3 revenue slightly below $5.3B-$5.6B outlook. Overall option implied volatility of 74 is above its 26-week average of 57.

CBOE significant call volume increases;
F 12/17/2011 11 19K contracts
YHOO 1/21/2012 17.5 16K
F 12/17/2011 10.0000 16K
BAC 12/17/2011 6 10K
AMGN 12/17/2011 65 8K
GLW 12/17/2011 14 7K
BAC 1/21/2012 7.5 6K
AVP 4/21/2012 20 4K 


Payrolls rise 123k (Santelli estimated 120k rise)

Revisions upward of 52k in Sept, 20k in Oct

8.6% unemployment rate lowest since March, 2009.

Futures sell off of pre-market highs, but still up nicely.

Volume in SPX and SPXpm good yesterday.

VIX starts day at 27.41