Blogging Options: CBOE Morning Update 1.3.13

Snow – and lots of it – on a Friday – in New York – in a holiday shortened week.  Overseas markets uneventful overnight.  Option volume yesterday pretty good, with CBOE showing 4.5mm  of  the 16mm options trading.  SPX traded ~740k, VIX 345k.

CME Group (CME) closed at $77.84 into reporting December 2013 volume averaged 10.9M contracts per day, up 13% compared with December 2012. Overall option implied volatility of 22 is near its 26-week average of 23.

CBOE Holdings (CBOE) closed at $50.98 into CBOE Cash Index, SPX and VIX Options Set All-Time Annual Volume Records. Overall option implied volatility of 23 is at its 26-week average (covered in a blog yesterday)

Boeing’s (BA) closed at $136.65 into a union vote today on a contract that will likely shape the power of organized labor at one of the U.S.’s biggest manufacturers. Overall option implied volatility of 21 is below its 26-week average of 23.

Options active expected to be active @ CBOE: TWTR TSLA BAC MU ABX GRPN PLUG SIRI MSFT

CBOE S&P 500 BuyWrite Index (BXM) closed at 1019.70, above its 50-day moving average of 999.25 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 255.50, above its 50-day moving average of 249.99. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.83, below its 10-day moving average of 12.47. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 14.23, above its 10-day moving average of 13.35 and above its 50-day moving average of 13.55. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 54c to $183.46 following yesterday’s sell-off. Trading volume is expected to remain low today after the Northeast was hit by a snowstorm and as some investors extend their holiday week by remaining on the sidelines.

Calls with increasing volume at CBOE:

SPY 1/3/2014   183 39K contracts
VXX 3/22/2014   50 20K
BAC 1/18/2014   16 18K

Puts with increasing volume at CBOE:

UNG 1/17/2015   17     24K contracts
CTIC 6/21/2014    1.50 20K
SD 3/22/2014       6     10K
XLF 2/22/2014      21  10K
SPY 1/3/2014  183.50  8K
JCP 1/10/2014    8.50  7K
INTC 1/18/2014   25   7K
MYGN 1/18/2014 20  7K