Blogging Options: CBOE Morning Update 12.11.13

Budget deal in Congress seems to have been baked into the market, as stock futures little changed.  Oil lower, metals mixed.  10-year auction later this morning.

Today at 3:30pm Chicago time Russell Rhoads of our Options Institute will have a 30-minute free webcast, the topic is the CBOE Short-Term Volatility Index (VXST) which was introduced in early October.  Details can be found on the cboe.com home page.

Volatility as an asset class

Home Depot (HD) is down $0.05 to $78.56 in the premarket after reaffirming its outlook for 2013, seeing FY14 sales growth 5% and EPS growth 17%. Overall option implied volatility of 20 is near its 26-week average of 21.

Costco (COST) is down $2.04 to $118 on Q1 profit rising 2.2%, but the wholesale club’s revenue grew less than anticipated. December call option implied volatility is at 17, January is at 16, April is at 15; compared to its 26-week average of 18.

MasterCard (MA) is up $31.38 to $794.98 after announcing a 10-for-1 stock split, an 83% increase in its dividend, and a new $3.5B share repurchase program. Overall option implied volatility of 22 is at its 26-week average.

Joy Global (JOY) is down $2.49 to $53.75 after the underground mining equipment manufacturer reported Q4 earnings decreased 87%. December weekly call option implied volatility is at 62, December is at 36, January is at 32, April is at 30; compared to its 26-week average of 34.

CBOE Crude Oil Volatility Index (OVX) closed @ 17.95, below its 50-day moving average of 20.55. WTI Crude Oil is trading above $98 www.CBOE.com/OVX

CBOE Gold ETF Volatility Index (GVZ) closed at 19.63, below its 50-day moving average of 21.58 GLD is recently down -0.5% to $121.21 in premarket  www.cboe.com/GVZ

CBOE S&P 500 BuyWrite Index (BXM) closed at 1003.24, above its 50-day moving average of 985.29. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 250.90, above its 50-day moving average of 246.48. http://www.cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 14.65. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.91, near its 10-day moving average of 13.92 and its 50-day moving average of 14.25. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 13.24, below its 50-day moving average of 13.55 www.cboe.com/VXD

Options expected to be active @ CBOE: TSLA HD MA V COST JOY CAT DE ALU BBRY FB TWTR

SPDR S&P 500 ETF Trust (SPY) up $0.16 to $180.92 after Washington budget negotiators reached an agreement that if approved by the House and Senate, could avoid another government shutdown on January 15.

Calls with increasing volume at CBOE:

SPY 1/3/2014 186 18K contracts
BAC 1/18/2014 15 9K
VXX 3/22/2014 46 7K

Puts with increasing volume at CBOE:

EEM 1/18/2014 40 17K contracts
SPY 1/18/2014 179 8K
XLF 3/22/2014 20 5K
AAL2 4/19/2014 30 5K
MS 12/21/2013 30 5K
F 1/17/2015 15 5K
IWM 5/17/2014 104 5K