Blogging Options: CBOE Morning Update 12.19.13

Triple Witch tomorrow, last day to trade SPX Dec options. Futures soft after yesterdays rally but European shares higher.  Initial Claims grew 10k, drop had been expected.  Home Sales at 9am CST.  Gold ticked below $1200 briefly,

Volatility as an asset class

Oracle (ORCL) is up $0.70 to $35.30 in the premarket after reporting earnings and revenue that beat expectations and giving third quarter guidance that was in-line with expectations.  December call option implied volatility is at 67, January is at 27, March is at 24; compared to its 26-week average of 22.

Darden (DRI) is down $1.00 to $51.92 after Q2 earnings falling 42%, results Red Lobster business were below expectations. The casual-dining chain also announced the separation of its Red Lobster business. Overall option implied volatility of 47 is above its 26-week average of 23.

ConAgra (CAG) is up $1.40 to $33.19 after the packaged food company reported Q2 earnings rose 18%.  Overall option implied volatility of 22 is above its 26-week average of 19.

AK Steel (AKS) is up 44c to $6.76 in the premarket after the steel manufacturer gave Q4 guidance that topped estimates. Overall option implied volatility of 55 is below its 26-week average of 58.

Options active expected to be active @ CBOE: ORCL AZN FB ARIA TSLA DRI NKE RAD SPX

CBOE S&P 500 BuyWrite Index (BXM) closed at 1008.72, above its 50-day moving average of 990.68. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 252.94, above its 50-day moving average of 247.81. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.95, below its 10-day moving average of 15.46. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Short-Term Volatility Index $VXST @ 12.95, below 10-day MA of 15.46

CBOE Volatility Index (VIX) closed at 13.80, below its 10-day moving average of 14.90 and its 50-day moving average of 13.98. www.cboe.com/VIX

VIX 52-week low is 11.05, high is 23.23.

SPDR S&P 500 ETF Trust (SPY) is recently is recently down 27c to $181.47 a day after stocks rallied sharply on the Fed announcing plans to trim its aggressive bond-buying program.

Calls with increasing volume at CBOE:
SPY 1/3/2014 183 62K contracts
IWM 12/31/2013 114 19K

Puts with increasing volume at CBOE:
IWM 12/21/2013 110 36K contracts
VXX 12/21/2013 45 31K
MBI 1/18/2014 5 27K
SPY 12/21/2013 178 25K
XOM 4/19/2014 92.50 16K
CX3 1/17/2015 4.81 15
NLY 1/17/2015 8 15Ko

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