Blogging Options: CBOE Morning Update 11.22.13

Volatility as an asset class in a cold and wet Chicago…

Splunk (SPLK) is up $6.90 to $67.00 in the premarket after the software company raised its fiscal-year revenue guidance. December call option implied volatility is at 53, January is at 47, February is at 42; compared to its 26-week average of 42.

Pandora (P) is higher by $0.40 to $30.08 after the Internet-radio provider reported a Q3 loss on an increase in revenue. November weekly call option implied volatility is at 216, December is at 75, January is at 62; compared to its 26-week average of 63.

Marvell Technology (MRVL) is higher by $0.52 to $14.35 after the chip maker reported Q3 profit nearly doubling. November call option implied volatility is at 50, December is at 44, January is at 38; compared to its 26-week average of 42.

Autodesk (ADSK) is up $1.33 to $44.86 in the premarket after Q3 profit nearly doubled on an increase in subscription software.  December call option implied volatility is at 39, January is at 33, April is at 32; compared to its 26-week average of 34.

Options expected to be active @ CBOE; FL ANN AZN HPQ P TFM ROST GPS ARUN MRVL

CBOE S&P 500 BuyWrite Index (BXM) closed at $997.29, above its 50-day moving average of 976.46. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 250.08, above its 50-day moving average of 245.08 http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1344.58, below its 10-day MA of 1341.62 www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $602.35 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 10.71. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.66, below its 50-day moving average of 14.39

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

Calls with increasing volume at CBOE:

ADM 3/22/2014 42 53K contracts
IP 1/17/2015 60 19K
INTC 12/21/2013 26 15K
IP 1/17/2015 50 14K
BAC 1/18/2014 15 10K
SPY 11/22/2013 180 9K

SPDR S&P 500 ETF Trust (SPY) is up $0.11 to $180.02 after Nikkei was 1.4% higher above 15,500 before it faded over the session and ended around 0.1% higher.

Mr Branson will accept Bitcoins for a trip to space, might be a nice holiday gift for a loved one. 10-year down to 2.78.