Blogging Options: CBOE Morning Update

Volatility as an asset class

The Euro STOXX 50 Index VSTOXX down 3.68 to 17.67 compared to its 52-week range of 14.93 – 38.31.

S&P 100 Options (OEX) open interest at CBOE on 12/28/21012 15348 calls, 16733 puts, 32081.

S&P 500 Index Options (SPX) open interest at CBOE on 12/28/21012 2412028 calls, 4047882 puts, 6459910 .

CBOE Volatility Index (VIX) at 18.57, 10-day moving average is 17.55.
 

Calls with increasing volume at CBOE;
SPY 12/31/2012 142 37K contracts
F 1/19/2013 14 10K
BAC 1/4/2013 11.5 10K

SPDR S&P 500 ETF Trust (SPY) is recently priced for strong gains in the premarket on the passage of a U.S. budget bill. Avis is buying Zipcar. Commodities up across the board, bonds lower in the pre-market.