Blogging Options: CBOE Morning Update 1.9.14

Weekly Jobless claims came in below expectations, unclear if end of year or weather affected. Temperature headed above 20 degrees today in midwest.  Eyes on jobs report tomorrow.  Investors will also get their first look at Q1 earnings as Alcoa reports after the close today.

Volatility as an asset class

Macy’s (M) is up $3.36 to $55.20 in the premarket after affirming its fiscal-year earnings guidance, announcing it will cut 2,500 employees as part of cost reduction initiatives and giving a fiscal-2014 earnings outlook that topped estimates. Overall option implied volatility of 25 is near its 26-week average of 26.

Family Dollar (FDO) is down $5.04 to $61.30 after lowers Q2 EPS view to 85c-95c, consensus $1.21. January weekly call option implied volatility is at 73, January is at 36, February is at 33, April is at 28, July is at 25; compared to its 26-week average of 28.

Bed Bath and Beyond (BBBY) is off by $7.64 to $72.04 in the premarket on weaker than expected Q3 results and 2014 outlook. January call option implied volatility is at 45, February is at 27, May is at 23; compared to its 26-week average of 27.

Options active expected to be active @ CBOE: PBR RAD PLUG SCTY FDO BBBY MSFT TWTR

CBOE S&P 500 BuyWrite Index (BXM) closed at 1023.92, above its 50-day moving average of 1002.88 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 256.38, above its 50-day moving average of 251 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.62, below its 10-day moving average of 12.19. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.87, below its 10-day moving average of 13.18 and near its 50-day moving average of 13.55. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 39c to $183.92 following the release of the Challenger job cuts report showing that job cuts were down 5.9% versus the same period a year ago ahead of tomorrow’s monthly nonfarm payrolls report.

Calls with increasing volume at CBOE:

SPY 1/18/2014 184 38K contracts
XOM 1/18/2014 50 15K
MU 1/10/2014 24 14K
BAC 1/18/2014 17 14K
XLP 2/22/2014 42 11K

Puts with increasing volume at CBOE:

WM 3/22/2014 112 15K contracts
SPY 1/18/2014 183 12K
XLP 2/22/2014 42 11K
VXX 11/22/2014 20 10K
NRG 6/21/2014 25 9K