Blogging Options: CBOE Morning Update 12.30.13

-2 degrees and a warm good morning from Chicago.  Bears fans still in disbelief as Packers pull out late win.  Lots of parking available at my train station, slow day ahead?  S&P fractionally higher, NASDAQ off slightly.  Asian shares mixed, Europe lower.  10-year dips below 3%.  Home Sales at 9:00am CST today.

Volatility as an asset class

Sector SPDR option implied volatility is flat

Consumer Discretionary Sector SPDR (XLY) overall option implied volatility of 14 is at its 26-week average of 14.

Consumer Staples Sector SPDR (XLP) overall option implied volatility of 11 is near its 26-week average of 12.

Energy Select Sector SPDR (XLE) overall option implied volatility of 13 is below its 26-week average of 16.

Financial Select Sector (XLF) overall option implied volatility of 16 near at its 26-week average of 18.

S&P Select Materials SPDR (XLB) overall option implied volatility of 13 is at its 26-week average.

Technology Select Sector SPDR (XLK) overall option implied volatility of 14 is near its 26-week average of 15.

Industrial Select Sector SPDR (XLI) overall option implied volatility of 13 is below its 26-week average of 15.

Health Care Select Sector SPDR (XLV) overall option implied volatility of 18 is above its 26-week average of 14.

Utilities SPDR (XLU) overall option implied volatility of 13 is at its 26-week average according to Track Data.

Options active expected to be active @ CBOE: CTB CROX TWTR FB

CBOE S&P 500 BuyWrite Index (BXM) closed at 1020.79, above its 50-day moving average of 996.98 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 255.59, above its 50-day moving average of 249.36. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.48, below its 10-day moving average of 13.56. VXST is a market- based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.46, below its 10-day moving average of 14 and above its 50-day moving average of 13.52. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.04 to $183.88 after closing at a record high.

Calls with increasing volume at CBOE Friday:

SPY 12/31/2013 184 24K contracts
UPS 1/18/2014 100 17K
TWTR 12/27/2013 70 9K
BBRY 1/3/2014 6.50 8K
VXX 1/18/2014 47 6K
BAC 2/22/2014 15 6K

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