Blogging Options: CBOE Morning Update 12.5.13

Volatility as an asset class

Costco (COST) is down $1.32 to $121.65 in the premarket after reporting weaker than expected November same-store sales growth. Overall option implied volatility of 19 is near its 26-week average.

Francesca’s (FRAN) is off $2.00 to $16.10 after the boutique operator saw weaker-than-expected results in November. Overall option implied volatility of 73 is above its 26-week average of 48.

Aeropostale (ARO) is down $0.50 to $8.86 after the youth focused apparel retailer reported a Q3 loss on weak sales. December call option implied volatility is at 78, January is at 69, April is at 56; compared to its 26-week average of 53.

Dollar General (DG) is up $1.38 to $57.75 in the premarket after the discount retailer reported Q3 earnings rose 14%. December call option implied volatility is at 41, January is at 35, February is at 29; compared to its 26-week average 30.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 15.08, below its 50-day moving average of 15.41. www.cboe.com/VXN

CBOE S&P 500 BuyWrite Index (BXM) closed at 998.88, above its 50-day moving average of 981.79. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.67, above its 50-day moving average of 245.83. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1346.50, above its 10-day MA of 1347.03 and its 50-day moving average of 1326.78. www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at 601.75 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.71. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 14.70, above its 10-day moving average of 13.40 and near its 50-day moving average of 14.32. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 13.88, below its 50-day moving average of 13.64 www.cboe.com/VXD

Options expected to be active @ CBOE; FB ARO F TWTR ELN OCLS AAPL BAC C INTC TSLA

Calls with increasing volume at CBOE:

C 1/18/2014 50 26K contracts
SPY 12/21/2013 182 14K
TLT 12/21/2013 106 11K
BSX 1/18/2014 13 10K
FB 12/6/2013 49 9K

3QFinal  GDP +3.6% (initial read +2.8%), Inventories up $30B helped push GDP higher, Personal Consumption component dropped to lowest level in 4 years.  Weekly Claims 298k – first time below 300k in a while. SPDR S&P 500 ETF Trust (SPY) is  hovering around unchanged at $179.70 after the release of the weekly jobless claims data, annualized GDP figures.  Later we’ll have personal consumption reading, factory orders and natural gas inventory reports.

10-year at 2.86% is key item to watch today.