Blogging Options: CBOE Morning Update 12.9.13

SPDR S&P 500 ETF Trust (SPY) is up $0.40 to $181.34 on steady gold, copper and oil prices. Overseas markets slightly higher.  10-year dips to ~2.84%.  Slow week for government reports, and Triple Witch is next week, so eyes could be on budget deadline this Friday.  5″ of snow already cleared from Soldier Field for tonight’s Bears – Cowboys game.  Da Coach’s number retired tonight.

Volatility as an asset class

Given Imaging (GIVN)  is $6.01 to $29.66 in the premarket on Covidien (COV) acquiring the maker of ingestible pills that take photos inside patient’s bodies for $30 per share in cash. Overall option implied volatility of 42 is above its 26-week average of 36.

Gilead (GILD) is up $2.82 to $76.54 on the FDA approval of Sovaldi for the treatment of chronic hepatitis C. Overall option implied volatility of 38 is above its 26-week average of 32.

McDonald’s (MCD) is off $0.62 to $96.18  after reporting U.S. November Same Store Sales down 0.8%, Europe November SSS up 1.9%, Asia/Pacific, Middle East and Africa November SSS down 2.3%.  Overall option implied volatility of 13 is near its 26-week average of 14.

Single stock volatility indexes @ CBOE;  VXAZN 34.29, VXAPL 28.03, VXGS 23.86, VXIBM 19.02‏, VXGOG 20.79.

CBOE Nasdaq-100 Volatility Index (VXN) closed at 14.85, below its 50-day moving average of 15.45. www.cboe.com/VXN

CBOE S&P 500 BuyWrite Index (BXM) closed at 1003.20, above its 50-day moving average of 983.38. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 251.09, above its 50-day moving average of 246.10. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1351.75, above its 10-day MA of 1348.22 and its 50-day moving average of 1328.64. www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at 605.80 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.70. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.79, above its 10-day moving average of 13.68 and its 50-day moving average of 14.34. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 12.85, below its 50-day moving average of 13.64 www.cboe.com/VXD

Options expected to be active this week on earnings release: MTN AZO TOL HRB COST JOY CIEN LULU

Calls with increasing volume at CBOE:

SPY 12/6/2013 181 40K contracts
AAPL 12/6/2013 565 13K
MSFT 1/18/2014 40 12
BAC 12/6/2013 15.50 11K
EEM 1/18/2014 44 11K
MU 12/21/2013 18 10K
TGT 12/21/2013 62.50 9K