Blogging Options: CBOE Morning Update 12.17.13

Reminder: December VIX Settlement tomorrow morning.

Volatility as an asset class:

Proshares UltraShort Barc 20 Year Treasury (TBT) closed at $78.39 into Fed officials decision on taper policy on Wednesday. December call option implied volatility is at 34, January is at 24, March is at 23; compared to its 26-week average of 29.

CBOE 30-Year Treasury Bonds (TYX) closed @ 38.95, near its 10-day MA of 38.83.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) closed @ $5.4.  www.cboe.com/VXTYN

CBOE Interest Rate Swap Volatility Index (SRVX) closed @ 96.99, below its 26-week average of 98.12. www.cboe.com/SRVX

Honeywell (HON) is down $0.30 to $87.07 in the premarket after reaffirming its 2013 outlook and providing 2014 guidance. Overall option implied volatility of 19 is near its 26-week average of 20.

Boeing (BA) is up $3.18 to $137.90 in the premarket after announcing a $10B share repurchase plan and a 50% increase in its dividend. Overall option implied volatility of 23 is at its 26-week average.

Options with increasing volume @ CBOE: FB TBT FDX PAYX CTB HLF IBM

CBOE S&P 500 BuyWrite Index (BXM) closed at 1000.26, above its 50-day moving average of 988.39. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 250.43, above its 50-day moving average of 247.20. 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 16.03, above its 10-day moving average of 14.82 and its 50-day moving average of 14.17. www.cboe.com/VIX

VIX 52-week low is 11.05, high is 23.23

SPDR S&P 500 ETF Trust (SPY) is  up $0.05 to $179.26 into Fed officials decision on taper policy on Wednesday.

Calls with increasing volume at CBOE:
SPY 12/21/2013 180 20K contracts
INTC 2/22/2014 26 15K
FB 12/21/2013 55 10K
EMC 1/18/2014 25 9K
EBAY 1/18/2014 55 5K
BAC 1/18/2014 16 4K