Blogging Options: CBOE Morning Update 12.3.13

Volatility as an asset class

Krispy Kreme (KKD) is down $3.29 to $21.26 in the premarket after reporting in-line earnings but giving a less than expected long-term profit outlook, with the doughnut seller saying it expects international franchise same-store sales to continue to be negative. December call option implied volatility is at 65, January is at 51, February is at 45; compared to its 26-week average of 43.

Yum! Brands (YUM) is off $1.83 to $75.87 after saying it sees November same-store sales at its China Division stores increasing 1%. Overall option implied volatility of 28 is above its 26-week average of 24.

NCR Corp. (NCR) is higher by $0.80 to $34.99, the manufacturer of automatic teller machines (and cash registers) agreed to pay $1.6B for Digital Insight Corp.  Overall option implied volatility of 31 is near its 26-week average of 29.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 14.81, below its 50-day moving average of 15.39.

CBOE S&P 500 BuyWrite Index (BXM) closed at 1000.54, above its 50-day moving average of 980.26.

CBOE DJIA BuyWrite Index (BXD) closed at 250.55, above its 50-day moving average of 245.59.

CBOE S&P 500 PutWrite Index (PUT) closed at 1348.55, above its 10-day MA of 1345.96 and its 50-day moving average of 1325.01.

CBOE S&P 500 95-110 Collar Index (CLL) closed at 604.30

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.30. VXST is a market-based gauge of expectations of 9-day volatility.

CBOE Volatility Index (VIX) closed at 14.23, above its 10-day moving average of 13.13 and near its 50-day moving average of 14.31.

CBOE VIX futures December at 14.40, February at 16.35, May at 18.20, June at 19.10, August at 19.95

CBOE DJIA Volatility Index (VXD) closed @ 13.52, below its 50-day moving average of 13.63

Options expected to be active @ CBOE; ABX HMY ARIA MU EBAY DRYS AMZN PBR

SPDR S&P 500 ETF Trust (SPY) is recently is recently down $0.58 to $179.95 on concerns the U.S. will soon scale back its economic stimulus.

Calls with increasing volume at CBOE:

SPY 12/13/2013 177 50K contracts
AA 1/18/2014 10 25K
AAPL 12/6/2013 560 6K
GRPN 12/21/2013 9 6K
APC 1/18/2014 100 5K

Minor economic reports today, including auto sales.