Blogging Options: CBOE Morning Update 12.6.13

November Non-Farm Payroll showed a gain of 203k, above the 186k consensus.  Unemployment Rate dropped from 7.2% from 7%, some of this due to Fed workers returning after shutdown last month.  Participation rate up slightly to 63% from 62.8%, still very low.
10-year traded over 2.92%, now ~2.9%.  SPDR S&P 500 ETF Trust (SPY) is  up $1.08 to $180.02

Volatility as an asset class

Intel (INTC) is up $0.50 to $24.76 in the premarket after the chip maker was upgraded to Buy from Neutral  with a $28 price target at Citigroup. Citi cited increasing evidence that corporate PC demand has stabilized and believes Intel’s guidance for 2014 is sufficiently conservative.  Intel overall option implied volatility of 21 is near its 26-week average of 22.

Ulta Salon (ULTA) is down $21 to $97 after the beauty products retailer warned of soft trends and likely high promotions during the holiday season. Overall option implied volatility of 59 is above its 26-week average of 38.

Big Lots (BIG) is off $3.52 to $33.61 after reporting earnings and giving guidance that missed estimates, while also announcing that it will exit its Canadian operations during its Q1. December call option implied volatility is at 45, January is at 34, April is at 30; compared to its 26-week average of 31.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 16.11, above its 50-day moving average of 15.44.

CBOE S&P 500 BuyWrite Index (BXM) closed at 996.58, above its 50-day moving average of 982.55.

CBOE DJIA BuyWrite Index (BXD) closed at 248.98, above its 50-day moving average of 245.95.

CBOE S&P 500 PutWrite Index (PUT) closed at 1343.55, above its 10-day MA of 1347.48 and its 50-day moving average of 1327.66

CBOE S&P 500 95-110 Collar Index (CLL) closed at 599.20

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 15.42. VXST is a market-based gauge of expectations of 9-day volatility.

CBOE Volatility Index (VIX) closed at 15.08, above its 10-day moving average of 13.57 and its 50-day moving average of 14.35.

CBOE DJIA Volatility Index (VXD) closed @ 14.23, above its 50-day moving average of 13.65

Options expected to be active @ CBOE; $BIG $JCP $BAC $IOC $PLUG $INTC $GERN

Calls with increasing volume at CBOE yesterday:

MSFT 12/21/2013 39 39K contracts
FXI 12/21/2013 42 23K
AA 6/21/2014 11 15K
AMD 1/18/2014 4 9K
SPY 1/18/2014 181 8K
AAPL 12/6/2013 575 8K
SPY 12/6/2013 179.50 7K
BAC 1/18/2014 16 7K