Blogging Options: CBOE Morning Update 1.7.14

Chicagoan’s looking forward to a jump in temperatures on the commute home to +5 degrees.  November Trade Deficit narrowed as exports were modestly higher and imports lower.  10-year dips to 2.95%.

Volatility as an asset class

Company’s presenting keynote addresses at International CES 2014 have mixed option implied volatility.

Sony (SNE) is at $17.30 into President and CEO Kazuo Hirai CES 2014 keynote address.  January call option implied volatility is at 28, April is at 31, July is at 30, January is at 32, April is at 31; compared to its 26-week average of 34.

Yahoo (YHOO) is up 7c to $40 in the premarket into President and CEO Marissa Mayer CES 2014 keynote address.  January call option implied volatility is at 27, February, April and July is at 36, April is at 31, July is at 36; compared to its 26-week average of 34.

Cisco (CSCO) is up 12c to $22.13 into Chairman and CEO John Chambers CES 2014 keynote address.  January call option implied volatility is at 17, February is at 25, March is at 23, April is at 22; compared to its 26-week average of 24

Qualcomm (QCOM) is down 18c to $72.52 in the premarket into Dr. Paul E. Jacobs, Chairman and CEO, keynote address at International CES 2014. Overall option implied volatility of 21 is near its 26-week average of 22.

Options active expected to be active @ CBOE: NBIX COCO FDO BBRY MU NFLX

CBOE S&P 500 BuyWrite Index (BXM) closed at 1021.16, above its 50-day moving average of 1000.69 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 255.97, above its 50-day moving average of 250.41 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.51, below its 10-day moving average of 12.37. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.55, above its 10-day moving average of 13.26 and near its 50-day moving average of 13.57. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 77c to $183.13 as the market tries to bounce back from its worst start to a new year since 2005.

SPY is trading at the upper end of its historic range.  VIX is trading at the lower end of its historic range.

Calls with increasing volume at CBOE:

SPY 1/10/2014 183.50 19K contracts
BAC 1/18/2014 17 17K
TWTR 2/22/2014 75 15K
DOW 1/18/2014 45 14k
BSX 1/18/2014 13 13K
MU 1/10/2014 22 13K