Blogging Options: CBOE Morning Update 12.4.13

Volatility as an asset class

J.C. Penney (JCP) is up $0.10 to $10.11 in the premarket after reporting November same-store sale rose 10.1% over the prior year period. December call option implied volatility is at 67, January is at 64, February and May is at 73; compared to its 26-week average of 68.

Sears Holding (SHLD) is down $3.45 to $52.10 after CEO Eddie Lampert’s ESL Partners cut its stake in the retailer to 48.4% from 55.4%.  Overall option implied volatility of 45 is near its 26-week average of 46.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 14.93, below its 50-day moving average of 15.40. www.cboe.com/VXN

CBOE S&P 500 BuyWrite Index (BXM) closed at 999.56, above its 50-day moving average of 981.02. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.85, above its 50-day moving average of 245.70. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1346.52, above its 10-day MA of 1346.44 and its 50-day moving average of 1325.90. www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at 602.40 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.68. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 14.55, above its 10-day moving average of 13.27 and near its 50-day moving average of 14.31. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 13.81, below its 50-day moving average of 13.63 www.cboe.com/VXD

Options expected to be active @ CBOE; JCP F BAC C HPQ T INTC TSL

Calls with increasing volume at CBOE:

SPY 12/21/2013 182 32K contracts
ABX 12/6/2013 16 13K
GG 1/17/2015 40 10K
ARO 1/18/2014 12 10K
AAPL 12/6/2013 570 7K

ADP reported 215k new jobs in Nov, higher than expected.  Talking heads will be adjusting their estimates higher for tomorrow’s NFP #.  SPDR S&P 500 ETF Trust (SPY) is down $0.50 to $179.25 on concerns the U.S. will soon scale back its economic stimulus.  10-year up to 2.84%