Blogging Options: CBOE Morning Update

Volatility as an asset class

Netflix (NFLX) closed at $86.17 and is up slightly pre-market into CEO Reed Hastings receiving a “Wells Notices” from SEC. December call option implied volatility is at 65, January is at 57, March is at 62; compared to its 26-week average of 57.

Facebook (FB) is up $0.18 to $27.15 in the premarket. December call option implied volatility is at 47, January is at 45, March is at 54; compared to its 26-week average of 55 into its addition to the Nasdaq-100 index on Dec. 12.

Amazon.com (AMZN) is unchanged on active premarket trading. Overall option implied volatility of 31 is below its 26-week average of 35.

Google (GOOG) closed at $691.14 Overall option implied volatility of 24 is below its 26-week average of 26.

CBOE Volatility Index-VIX closed at 16.57, above its 10-day moving average of 15.97, and its 50-day moving average is 16.50.

Calls with increasing volume at CBOE;

SPY 1/19/2013 147 27K contracts

EWZ 1/19/2013 54 16K

BAC 12/7/2012 10.5 13K

AAPL 12/7/2012 550 13K

EMB 3/16/2013 125 10K

UAL 1/19/2013 22 10K

S&P 500 ETF Trust (SPY) was off 0.31 before the November non-farm payroll report, but rallied once the report was released.

The economy added 146k jobs in November, higher than the 85k to 100k expected. October was revised lower from 171k to 138k. September was also revised lower from 148k to 132k.

The unemployment rate dropped from 7.9% to 7.7%, the lowest in 4 years.