Blogging Options: CBOE Morning Update 12.16.13

Good Morning from a 5 degree Chicago.  Stock futures up sharply in last hour, even as December Empire State report showed a +0.98 when 5.00 was expected.  New Orders hurt that benchmark.  VIX Futures expire Wednesday, Triple Witch this Friday.  Asian stocks down hard but European shares follow US futures higher.

Volatility as an asset class

AerCap (AER) is up $8.58 to $33.51 in the premarket after announcing the purchase of AIG (AIG) subsidiary ILFC unit (leasing company) for $3B in cash, 97.56M shares.  Overall option implied volatility of 43 is above its 26-week average of 26.

AIG, up $1.00 in pre-market trading, shows overall option implied volatility of 25 is near its 26-week average of 27.

LSI (LSI) is up $3.08 to $10.99  after Avago Technologies (AVGO) announced the acquisition of the diversified semiconductor company for $11.15 per share in an all-cash transaction valued at $6.6B. Overall option implied volatility of 27 is below its 26-week average.

Avago Technologies (AVGO) Overall option implied volatility of 31 is near its 26-week average.

CBOE S&P 500 BuyWrite Index (BXM) closed at 995.32, above its 50-day moving average of 987.57.

CBOE DJIA BuyWrite Index (BXD) closed at 248.66, above its 50-day moving average of 246.99.

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 Volatility Index (VIX) closed at 15.76, above its 10-day moving average of 14.64 and its 50-day moving average of 14.19.

CBOE DJIA Volatility Index (VXD) closed @ 14.92 above its 50-day moving average of 13.46

Options expected to be active @ CBOE: FB NOK TWTR S TMUX AER AIG AGEN FB

SPDR S&P 500 ETF Trust (SPY) is recently up %0.90 to $179.00 into Fed officials decision policy meeting this week.

Calls with increasing volume at CBOE:

IWM 12/31/2013 114 77K contracts
SPY 12/13/2013 178 16K
AAPL 12/13/2013 560 9K
VXX 3/22/2014 48 9K
ADBE 1/18/2014 55 8K