Blogging Options: CBOE Morning Update

Volatility as an asset class

Proshares Ultra Short 20 Year Treasury (TBT) is up $1.08 to $67.86 in the premarket as Treasuries extend declines for a fourth straight session. Overall option implied volatility of 27 is below its 26-week average of 30.

CBOE Interest Rate 5-year T Note (FVX) closed at $8.08 a day after December FOMC minutes resulted in a bond market selloff. FVX is trading above its 10-day moving average of 7.56 and its 50-day moving average of 6.90.

CBOE Interest Rate 10-year T-Note (TNX) closed at $18.98 above its 10-day moving average of 17.80 and its 50-day moving average of 16.92.

CBOE 30-Year Treasury Bond (TYX) closed at 31.07; above its 10-day moving average of 29.63 and its 50-day moving average of 28.60.

CBOE Volatility Index (VIX) closed at 14.56, below its 10-day moving average of 18.03, and 50-day moving average of 17.08.

Calls with increasing volume at CBOE;

WMB 8/17/2013 40 55K contracts
C1 1/19/2013 3.5 50K
EWJ 1/19/2013 10 35K
ORCL 1/18/2014 35 11K
F 1/19/2013 12 10K
VXX 1/19/2013 30 10K
EWZ 1/19/2013 58 10K
TLT 3/16/2013 124 10K 

December Non-Farm Payrolls rose 155k, in line with street estimates, 146k in November (revised to 161k) .

The Jobless Rate rose to 7.8%, above the 7.7% previously reported in November. November was revised higher to 7.8%, so that’s why this is reported as unchanged. Participation Rate unchanged at 63.6%.

SPDR S&P 500 ETF Trust (SPY) is trading mixed to higher in the premarket and Treasuries extend declines; the 10-year yield is trading at 1.97% and the 30-year at 3.16%.

CBOE’s Matt Moran will be posting 2012 recaps covering VIX products and others in this space over the next 48 hours.