Blogging Options: CBOE Morning Update 1.2.14

Good morning from a snow covered Chicago – 10 inches yesterday and up to 12″ today.  Sending some to NY – let’s see how they cope.  We’re open for trading all day!  Asian and European markets off. Weekly Claims were lower but previous revised higher, so no help there.  At 9:00am we get December ISM.   WMT  not singing the Ylvis song “What Does the Fox Say” as some meat at their stores in China mixed with fox meat.

Volatility as an asset class

2013’s Top 10 Performing S&P 500 Stocks option implied volatility is near its 26-week average

Netflix (NFLX) +269%. Overall option implied volatility of 47 is near its 26-week average of 49.

Best Buy (BBY) +238%. Overall option implied volatility of 41 is near its 26-week average of 40.

Micron (MU) +236%. Overall option implied volatility of 52 is near its 26-week average of 50.

Delta Air (DAL) +129%. Overall option implied volatility of 35 is near its 26-week average of 36.

Pitney Bowes (PBI) +120%. Overall option implied volatility of 34 is near its 26-week average of 33.

E*TRADE Financial (ETFC) +116%. Overall option implied volatility of 32 is below its 26-week average of 33.

Celgene (CELG) +115%. Overall option implied volatility of 33 is near its 26-week average of 32.

Boston Scientific (BSX) +109%. Overall option implied volatility of 33 is near its 26-week average of 33.

Genworth Financial (GNW) +105%. Overall option implied volatility of 33 is below its 26-week average of 35.

Facebook (FB) +104%. Overall option implied volatility of 46 is near its 26-week average of 44.

Options active expected to be active @ CBOE: TWTR TSLA BAC MSFT

CBOE S&P 500 BuyWrite Index (BXM) closed at 1021.68, above its 50-day moving average of 998.54 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 255.85, above its 50-day moving average of 249.78. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.75, below its 10-day moving average of 12.79. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.72, below its 10-day moving average of 13.55 and above its 50-day moving average of 13.53. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 52c to $184.17 on first trading day of 2014.

Calls with increasing volume at CBOE:

DOW 1/18/2014 40 85K contracts
SPY 12/31/2013 185 27K
QQQ 2/22/2014 92 18K
GDX 1/17/2015 35 11K
IWM 12/31/2013 115 10K

 

 

 

 

 

 

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Volatility as an asset class

2013’s Top 10 Performing S&P 500 Stocks option implied volatility is near its 26-week average

Netflix (NFLX) +269%. Overall option implied volatility of 47 is near its 26-week average of 49.

Best Buy (BBY) +238%. Overall option implied volatility of 41 is near its 26-week average of 40.

Micron (MU) +236%. Overall option implied volatility of 52 is near its 26-week average of 50.

Delta Air (DAL) +129%. Overall option implied volatility of 35 is near its 26-week average of 36.

Pitney Bowes (PBI) +120%. Overall option implied volatility of 34 is near its 26-week average of 33.

E*TRADE Financial (ETFC) +116%. Overall option implied volatility of 32 is below its 26-week average of 33.

Celgene (CELG) +115%. Overall option implied volatility of 33 is near its 26-week average of 32.

Boston Scientific (BSX) +109%. Overall option implied volatility of 33 is near its 26-week average of 33.

Genworth Financial (GNW) +105%. Overall option implied volatility of 33 is below its 26-week average of 35.

Facebook (FB) +104%. Overall option implied volatility of 46 is near its 26-week average of 44.

Options active expected to be active @ CBOE: TWTR TSLA BAC MSFT

CBOE S&P 500 BuyWrite Index (BXM) closed at 1021.68, above its 50-day moving average of 998.54 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 255.85, above its 50-day moving average of 249.78. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.75, below its 10-day moving average of 12.79. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.72, below its 10-day moving average of 13.55 and above its 50-day moving average of 13.53. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 52c to $184.17 on first trading day of 2014.

Calls with increasing volume at CBOE:

DOW 1/18/2014 40 85K contracts
SPY 12/31/2013 185 27K
QQQ 2/22/2014 92 18K
GDX 1/17/2015 35 11K
IWM 12/31/2013 115 10K

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