Blogging Options: CBOE Morning Update

Volatility as an asset class

Facebook (FB) is trading up $0.72 to $24.72 in the premarket after the company was upgraded to Outperform from Market Perform at Bernstein. Overall option implied volatility of 48 is below its 26-week average of 55.

SPDR Gold Trust overall implied volatility at 14; 26-week average is 19.

iShares Silver Trust overall implied volatility at 24; 26-week average is 29.

NASDAQ 100 overall implied volatility at 17; 26-week average is 19.

Russell 2000 overall implied volatility at 18; 26-week average is 22. 

Financial Select Sector overall volatility at 20, 26-week average is 21.

CBOE Volatility Index (VIX) closed at 15.14, below its 10-day moving average of 16.83 and its 50-day moving average of 16.22.

Calls with increasing volume at CBOE;

SPY 12/22/2012 140 16K contracts

AAPL 11/23/2012 570 10K

QQQ 11/23/2012 64.5 9K

SPDR S&P 500 ETF Trust (SPY) is down 0.6% to 140.56 in the premarket suggesting a lower open into ‘Cyber Monday’. Early reports on Black Friday sales were good. Overseas markets also soft. The market rally at the end of last week was on very light volume so can the bulls stay in control with no progress on the cliff?

Crude off fractionally, grains slightly higher. 10-year yield down to 1.65%. Catelonia (northeast Spain) voters went for independence from Spain (advisory) sparked in part by European debt problems.