Blogging Options: CBOE Morning Update

Volatility as an asset class


Nasdaq-100® Index Tracking Stock (QQQ) overall option implied volatility at 24:

Russell 2000® Index Options (RUT) overall option implied volatility at 29:

S&P 100® Options with American-style exercise (OEX) overall option implied volatility at 20:

CBOE DJIA BuyWrite Index (BXD) at 220.86, above 50-day moving average of 211.98:


CBOE significant call volume increases;

AGO 1/21/2012 17.5 12K contracts

X 1/21/2012 26 7K

LEAP 1/21/2012 9 7K

SYMC 1/21/2012 20 6K

GDXJ 5/19/2012 27.63 6K

AMR 1/19/2013 1 5K

AGO 1/21/2012 14 4K

AAPL 12/30/2011 405 3K

INTC 2/18/2012 25 3K

MMR 1/21/2012 17.5 2K


U.S. equities are up ~ 1.5% in pre-open trading as global equity markets rally into optimism for 2012. ISM & Construction Spending later this morning.

CBOE Volatility Index-VIX closed at 23.39, 10-day moving average is 22.72, 50-day moving average is 28.68.

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