Blogging Options: CBOE Morning Update 12.10.13

Temperature guage on car last night hit zero after Chicago Bears sent Cowboys packing.  Cold weather headed East.  SPDR S&P 500 ETF Trust (SPY) is recently is recently down 32c to $181.08 as Treasury prices rally.  Trading may get a boost if Budget Committee makes progress today. One committee meeting cancelled due to weather.

Volatility as an asset class

Toll Brothers (TOL) is up $1.07 to $34.65 in the premarket after the luxury homebuilder reported Q4 EPS of 54c compared to consensus 43c and reported Q4 backlog of $2.63B. December call option implied volatility is at 37, January is at 33, March is at 34; compared to its 26-week average of 36.

Pep Boys (PBY) is down $1.56 to $11.85 after the auto-care company reported weak Q3 results. December call option implied volatility is at 47, January and April is at 31; compared to its 26-week average of 33.

Geron (GERN) is up $0.80 to $6.32  following a presentation of Imetelstat, novel telomerase inhibiting drug, at the ASH meeting.  Overall option implied volatility of 116 is above its 26-week average of 110.

CBOE Crude Oil Volatility Index (OVX) closed @ 18.10, below its 50-day moving average of 20.65. WTI Crude Oil is trading above $98 www.CBOE.com/OVX

CBOE Gold ETF Volatility Index (GVZ) closed at 20.65, below its 50-day moving average of 21.66 GLD is recently up +1.4% to $121.58 in premarket  www.cboe.com/GVZ

CBOE S&P 500 BuyWrite Index (BXM) closed at 1004.18, above its 50-day moving average of 984.29. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 251.30, above its 50-day moving average of 246.28. http://www.cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.50. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.49, below its 10-day moving average of 13.81 and its 50-day moving average of 14.30. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 12.96, below its 50-day moving average of 13.60 www.cboe.com/VXD

Options expected to be active @ CBOE: TSLA BAC GERN PBY LULU TOL MSFT FB TWTR

Calls with increasing volume at CBOE:

APC 1/18/2014 105 30K contracts
SPY 12/31/2013 187 22K
PFE 3/22/2014 31 17K
S 2/22/2014 7 17K
APC 5/17/2014 100 15K
CSCO 12/13/2013 21.50 8K
XLF 12/13/2013 21.50 6K
BRFS 6/21/2014 22.50 6K