Blogging Options: CBOE Morning Update 1.6.14

Temperature gauge in car showed -15 on the way to the train this morning – and the wind chill….  Today (or yesterday) is the 12th day of Christmas, and some smaller exchanges closed, mostly in southern Europe.    Decent day in options volume Friday at CBOE.  Overnight China growth slowed but European growth steady.  Factory Orders released at 9am CST.  Congress returns today – insert your own comment.  Ms. Yellen should be approved later today as new head of FED.  10-year at 2.97%.

Volatility as an asset class

General Electric (GE) is up 10c to $27.58 in the premarket after announcing GE Healthcare is acquiring Thermo Fisher (TMO) units for approx. $1.06B Overall option implied volatility of 19 is below its 26-week average of 22.

Walgreens (WAG) is up $0.83 to $57.65 after reporting December SSS up 6.1%, total sales $7.2B.  Overall option implied volatility of 22 is below its 26-week average of 24 is near its 26-week average.

Radware (RDWR) is up $1.60 to $19.26 after the security solutions company for virtual and cloud data centers raises Q4 EPS view to 21c-22c from 18c-19c. Overall option implied volatility of 33 is near its 26-week average of 34.

Boston Scientific (BSX) is up 19c to $12.12 in the premarket after Oppenheimer upgraded the medical device company to Overweight from Equal Weight to reflect pipeline acceleration and margin improvement in cardiology. Overall option implied volatility of 31 is near its 26-week average of 32.

Options active expected to be active @ CBOE: LMCA SIRI AA BBBY MU MON

CBOE S&P 500 BuyWrite Index (BXM) closed at 1021.02, above its 50-day moving average of 999.96 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 256.22, above its 50-day moving average of 250.22 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.17, below its 10-day moving average of 12.39. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.76, above its 10-day moving average of 13.35 and above its 50-day moving average of 13.56. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.38 to $183.26 into Friday’s December employment report.

Calls with increasing volume at CBOE:

SPY 1/3/2014 183 34K contracts
XLF 1/3/2014 21.50 15K
BAC 1/18/2014 16 14K
AAPL 1/3/2014 550 7K