Blogging Options: CBOE Morning Update 11.27.13

Volatility as an asset class

HP (HPQ) is up $1.63 to $26.72 in the premarket after reporting a better than expected Q4 profit. November weekly call option implied volatility is at 114, December is at 47, January is at 39, February is at 34, May is at 33; compared to its 26-week average of 35.

TiVo (TIVO) is higher by $0.15 to $13.39 after reporting Q3 subscriptions rose 32% to 3.9M. November call option implied volatility is at 81, December is at 47, January is at 35, February is at 36; compared to its 26-week average of 35.

Nasdaq-100 Index Options (NDX) closed at 3445.75, above its 50-day moving average of 3315.01. Overall option implied volatility is at 11. http://www.cboe.com/micro/ndx/

CBOE Mini-NDX Index (MNX) closed at 344.58, above its 50-day moving average of 331.53.

Overall option implied volatility is at 14. MNX is based on 1/10th the value of the Nasdaq-100 Index (NDX).

PowerShares QQQ ETF (QQQ) closed at 84.75, above its 50-day moving average of 81.36.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 13.60, below its 50-day moving average of 15.37. www.cboe.com/VXN

CBOE S&P 500 BuyWrite Index (BXM) closed at 1000.22, above its 50-day moving average of 978.30. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 250.80, above its 50-day moving average of 245.32. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1348.70, above its 10-day MA of 1343.88 and its 50-day moving average of 1322.59. www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at 604.60 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.55. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.82, above its 10-day moving average of 12.74 and below its 50-day moving average of 14.29. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 11.83, below its 50-day moving average of 13.63 www.cboe.com/VXD

Options expected to be active @ CBOE; TSLA TIVO HPQ

SPDR S&P 500 ETF Trust (SPY) is recently is up $0.16 to $180.84.

Calls with increasing volume at CBOE:
S 2/22/2014 9 25K contracts
SPY 1/18/2014 180 19K
ABX 1/18/2014 45 19K
XLF 12/21/2013 22 16K
CXO 3/22/2014 130 10
EWT 12/21/2013 14 10K

Durable Goods in Oct showed a drop of 2.0% (-1.8% expected), Sept was up 4.1%. X-Autos -0.1%.  Not great. Weekly Claims 316k.