Blogging Options: CBOE Morning Update

Volatility as an asset class for the abbreviated session today:

Cyber Monday retailers have low option implied volatility

Amazon.com (AMZN) overall option implied volatility of 33 is below its 26-week average of 35.

eBay (EBAY) overall option implied volatility of 31 is below its 26-week average of 33.

Barnes & Noble (BKS) overall option implied volatility of 56 is below its 26-week average of 61.

Dangdang (DANG) overall option implied volatility of 55 is below its 26-week average of 69.

Overstock.com (OSTK) overall option implied volatility of 45 is below its 26-week average of 57.

Blue Nile (NILE) overall option implied volatility of 42 is below its 26-week average of 55.

Best Buy (BBY) overall option implied volatility of 74 is above its 26-week average of 55.

Wal-Mart (WMT) overall option implied volatility of 17 is near its 26-week average.

Target (TGT) overall option implied volatility of 20 is near its 26-week average of 21.

Macy’s (M) overall option implied volatility of 29 is below its 26-week average of 33.

CBOE Volatility Index (VIX) closed at 15.31, below its 10-day moving average of 16.83 and its 50-day moving average of 16.22.

Calls with increasing volume at CBOE;

EEM 1/19/2013 43 12K contracts

MRK 1/19/2013 45 10K

SPY 12/22/2012 160 10K

AAPL 11/23/2012 565 8K

BAC 12/22/2012 10 7K

SPDR S&P 500 ETF Trust (SPY) is up 0.3% in the premarket suggesting a slightly higher open as the Black Friday trading session is set to begin. Overseas markets up across the board.

Here’s the schedule for the shortened session today:

CBOE, C2 and CBSX Equities products will close at 12:00 p.m. CT.

ETFs and Indices that normally close at 3:00 p.m. will close at noon.

ETFs and Indices that normally close at 3:15 p.m. will close at 12:15.

CFE futures products that normally close at 3:00 p.m. will close at 12:00 p.m.

Futures products that normally close at 3:15 p.m. will close at 12:15 p.m. and Trade at Settlement (TAS) products will close at 12:12 p.m.