Blogging Options: CBOE Morning Update 11.18.13

Volatility as an asset class – in a windy Chicago…

Tyson Foods (TSN) is up $1.13 to $29.90 in the premarket after reporting Q4 adjusted EPS 70c, compared to consensus 69c. December call option implied volatility is at 28, January is at 25, April is at 24; compared to its 26-week average of 26.

Google (GOOG) is higher by $1.66 to $1035.22 into opening showrooms called Winter Wonderlabs in six U.S. cities, promoting its latest products and stepping up retail efforts, reports Bloomberg. Overall option implied volatility of 19 is below its 26-week average of 22.

Sony (SNE) is up $0.53 to $18.93 after selling 1M units of PlayStation 4 console in first 24 hour, reports Reuters.  Overall option implied volatility of 32 is below its 26-week average of 37.

Twitter (TWTR) is down $0.28 to $43.70 in the premarket. November weekly call option implied volatility is at 74, December is at 54, January is at 49, February is at 59, compared to Facebook’s (FB) 26-week average of 40.

Options expected to be active @ CBOE; MSFT CRM TSN URBN BA P HD LOW

CBOE S&P 500 BuyWrite Index (BXM) closed at $996.80, above its 50-day moving average of 974.21. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.46, above its 50-day moving average of 244.74. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1343.35, above its 10-day MA of 1340.01 www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $603.05 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.16. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.37, below its 10-day moving average of 12.92 and below its 50-day moving average of 14.58. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 12.19, below its 50-day moving average of 14.50 www.cboe.com/VXD

VIX futures trade 7:00 a.m. to 2:00 a.m. for Business Days Monday through Friday

SPDR S&P 500 ETF Trust (SPY) is recently is recently up 6c to $180.11 as China indexes rallied on announced economic reforms.

Calls with increasing volume at CBOE:

SPY 11/16/2013 180 46K contracts
FXI 12/21/2013 40 24K
XLF 1/18/2014 21 17K
VWO 12/21/2013 42 14K
EEM 12/21/2013 42.50 11K

European shares mostly higher, Asia mixed.  10-yr nears 2.75%.