Blogging Options: CBOE Morning Update 1.27.14

European shares a little weak this morning on emerging market worries.  Liberty Global in a $9.4b deal in Europe.  MRK upgraded, 10-year 2.74%.  SPX Weeklys set a volume record Friday.

Volatility as an asset class

United States Natural Gas Fund (UNG) is off $0.25 $24.36 in the premarket, after natural gas rallies 1.5%.  January weekly call option implied volatility is at 96, February is at 76, March is at 59, April is at 51; above its 26-week average of 33.

Caterpillar (CAT) is up $5.78 to $91.90 after reporting Q4 EPS $1.54, consensus $1.28. January weekly call option implied volatility is at 39, February is at 23, April is at 19; compared to its 26-week average of 21.

Royal Caribbean (RCL) is higher by $1.21 to $48.34 in the premarket after Q4 reported $0.23 versus $0.18, and raised guidance.  The “Explorer of the Seas” cruise-liner returned to port two days early after hundreds were sickened. Overall option implied volatility of 30 is above its 26-week average of 27.

Options expected to be active @ CBOE: YHOO FB VOD CAT AAPL UNG GERN

CBOE S&P 500 BuyWrite Index (BXM) closed at 1004.74, above its 50-day moving average of 1009.40 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 250.33, above its 50-day moving average of 252.68 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 20.84, compared to its 10-day moving average of 12.73. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE S&P 500 Skew Index (SKEW) 131.61, above 50-day moving average of 132.33. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE Volatility Index (VIX) closed at 18.41, above its 10-day moving average of 13.25 and its 50-day moving average of 13.55. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 51c to $179.38 as international stock markets stabilize.

Calls with increasing volume at CBOE:

FB 2/22/2014 57.50 59K contracts
SPY 2/22/2014 184 45K
C 2/22/2014 52.50 19K
BSX 2/22/2014 14 13K

Puts with increasing volume at CBOE:

EEM 1/31/2014 37.50 53K contracts
SPY 2/22/2014 180 20K

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.

Tags

,