Blogging Options: CBOE Morning Update 1.13.14

Earnings of banks will be watched this week as Q4 reports start in volume this week.  Several economic reports will be watched as well.  Options expiration this Friday, followed by the holiday, Monday (MLK).  Japanese markets closed  today, 10-year down to 2.86%.  Goldman after the close Friday is said to have lowered their US Equity outlook to “Underperform”.

Volatility as an asset class

Lululemon Athletica (LULU) is trading down $8.48 to $51.16 the premarket after reducing Q4 outlook due to decelerating traffic.  Overall call option implied volatility of 40 is near its 26-week average of 39.

Beam (BEAM) is up $16.78 to $83.76  on the spirit company being acquired by Suntory for $16B ($83.50 per share). Overall option implied volatility of 22 is at its 26-week average.

SodaStream (SODA) is recently down $7.49 to $42.40 after the in-home machine soda maker announced less than expected preliminary 2013 results. Overall option implied volatility of 48 is near its 26-week average of 46.

Options active expected to be active @ CBOE: BEAM FWLT LULU ICPT NPO WFC JPM WEN SPX VIX

CBOE S&P 500 BuyWrite Index (BXM) closed at 1025.34, above its 50-day moving average of 1003.60

CBOE DJIA BuyWrite Index (BXD) closed at 256.51, above its 50-day moving average of 251.18

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 9.97, below its 10-day moving average of 12.16. VXST is a market-based gauge of expectations of 9-day volatility.

CBOE Volatility Index (VIX) closed at 12.14, below its 10-day moving average of 13.21 and near its 50-day moving average of 13.52.

SPDR S&P 500 ETF Trust (SPY) is down $0.41 to $183.71 into the start of earnings season.

Calls with increasing volume at CBOE:

ADM 3/22/2014 42 23K contracts
VXX 1/24/2014 59 18K
SPY 1/10/2014 184 17K
POM 5/17/2014 20 15K
BAC 1/18/2014 17 15K
GM 1/18/2014 41.50 13K
AA 1/18/2014 10 13K


The 5th Annual Bloomberg/CBOE Equity Volatility Symposium brings together key thought leaders, industry experts, quantitative researchers and Bloomberg market specialists as they share insight and strategies.

Tuesday, January 14, 2014
3:30pm – 6:00pm CST
Chicago Board Options Exchange