Blogging Options: CBOE Morning Update 12.12.13

SPDR S&P 500 ETF Trust (SPY) is relatively flat in the premarket after the S&P 500 finished down over 1% yesterday.  Yesterday’s option volume surged at CBOE in the afternoon, VIX up by +10%. Retail Sales showed a nice gain but Weekly Claims (368k) shot higher, worst number in 9 months.  Oil higher, metal’s sharply lower.

Don’t forget our Russell Rhoads will complete his free webinar series today at 3:30 CST. Todays topic is VIX Futures extended trading hours.  This webcast and yesterday’s on Short-Term VIX (VXST) will be archived at cboe.com by tomorrow afternoon.

Volatility as an asset class

Facebook (FB) is up $1.86 to $51.24 in the premarket on the announcement of its addition to the S&P 500 after the market close on December 20, replacing Teradyne (TER). December call option implied volatility is at 40, January is at 38, February and March is at 45; compared to its 26-week average of 40.

Ciena (CIEN) is down $2.35 to $20.40 after the telecom equipment provider reported less than expected earnings on weak gross margins. December call option implied volatility is at 90, January is at 57, April is at 49; compared to its 26-week average of 45.

Lululemon Athletica (LULU) is down $5.80 to $62.54 after the yoga retailer lowered guidance for the year. December weekly call option implied volatility is at 123, December is at 48, January is at 43, March is at 36; compared to its 26-week average of 39.

Athenahealth (ATHN) is off $12.88 to $117.96 in the premarket after the electronic healthcare records company provided weaker than expected 2014 guidance. Overall option implied volatility of 51 is above its 26-week average of 41.

CBOE S&P 500 BuyWrite Index (BXM) closed at 997.32, above its 50-day moving average of 986.02. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.60, above its 50-day moving average of 246.64. http://www.cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 17.36. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 15.42, above its 10-day moving average of 14.18 and its 50-day moving average of 14.24. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 14.13, above its 50-day moving average of 13.54 www.cboe.com/VXD

Options expected to be active on addition and deletions of S&P 500 @ CBOE: FB ADS MHK TER JDSU ANF

Calls with increasing volume at CBOE:

SPY 12/31/2013 183 28K contracts
CSCO 1/18/2014 22 20K
XLI 12/21/2013 48 20K
NRF 12/21/2013 10 17K
VWO 12/21/2013 42 14K
QQQ 2/22/2014 86 11K
MU 12/21/2013 20 10K