Blogging Options: CBOE Morning Update 12.20.13

Happy Triple Witch.  Option volume yesterday came in at ~22 million contracts, CBOE ~ 5.68mm,  SPX with 1.192 mm and VIX with 717k.  A good day.

This morning finds Q3 Final GDP coming in at 4.1%, much higher than expected. S&P lowered the EU’s credit rating from AAA to AA+.

Volatility as an asset class

Red Hat (RHT) is up $6.86 to $55.86 in the premarket following the better than expected Q3 report citing strengthening fundamentals and billings growth. January call option implied volatility is at 43, March is at 33; compared to its 26-week average of 34.

BlackBerry (BBRY) is up $0.11 to $6.38 after Q3 revenue misses expectations. January call option implied volatility is at 71, February is at 60, March is at 57, June is at 54; compared to its 26-week average of 63.

Nike (NKE) is down $0.31c to $77.95 after reporting Q2 EPS 59c, consensus 58c. January call option implied volatility is at 28, April is at 24; compared to its 26-week average of 26.

Jones Group (JNY) is up $0.69 to $14.82 in the premarket after announcing an agreement to be acquired by Sycamore Partners for $15.00 per share in cash. December call option implied volatility is at 91, January is at 34, February is at 30; compared to its 26-week average of 44.

Options active expected to be active @ CBOE: BBRY JNY FB ARIA ERIC TIBX NKE WAG VIX

CBOE S&P 500 BuyWrite Index (BXM) closed at 1009.14, above its 50-day moving average of 992.02. 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 12.78, below its 10-day moving average of 15.19. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 14.15, below its 10-day moving average of 14.81 and above its 50-day moving average of 13.87. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is higher by $0.22 to $180.72 as traders weigh on sharp rally this week on the Fed announcing plans to trim its bond-buying program.

Calls with increasing volume at CBOE:

SPY 12/21/2013 181 28K contracts
XLF 1/18/2014 22 24K
IWM 12/31/2013 114 13K
FB 12/21/2013 55 10K
BAC 1/18/2014 18 10K
GM 12/21/2013 41 10K

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