Blogging Options: CBOE Morning Update

It is reported that ICE will pay $33 per share for NYSE, with 1/3 cash and 2/3 stock.

NYSE Euronext is halted at $24.05. Overall option implied volatility of 25 is near its 26-week average of 24.

IntercontinentalExchange (ICE) is down $5.31 to $123 in the premarket after reports the exchange may announce the purchase of NYSE Euronext (NYX). Overall option implied volatility of 23 is near its 26-week average of 24.

KB Homes (KBH) is off $0.46 to $16.20 in the premarket after reporting Q4 EPS 10c, compared to consensus 7c. Overall option implied volatility of 55 is near its 26-week average of 53.

Accenture (ACN) is indicated lower by roughly $3 in the premarket after reporting Q1 EPS $1.06, compared to consensus $1.04 on flat consulting revenue. Overall option implied volatility of 27 is above its 26-week average of 24.

CBOE Volatility Index (VIX) closed at 17.36, up sharply yesterday. This level is above its 10-day moving average of 16.28, and its 50-day moving average is 16.66.

Calls with increasing volume at CBOE;

SPY 12/22/2012 145 26K contracts

FXI 12/22/2012 38 18K

VXX 1/19/2013 32 15K

UUP 1/19/2013 22 13K

GE 12/22/2012 21 10K

SPDR S&P 500 ETF Trust (SPY) is off slightly in the premarket as budget discussions continue.

3Q GDP Final showed a surprising gain to 3.1%, up from the previously estimated 2.7%, and higher than the expected 2.8%.

Weekly Jobless Claims rose to 361k, up 17k.

Triple Witch Expiration tomorrow, last day to trade December AM Settlement options is today, settlement tomorrow morning.

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