Blogging Options: CBOE Morning Update 2.3.14

When you see your shadow on Groundhog Day in Chicago, you know what that means:
Six more weeks of volatility.

ISM for Jan will report 30 minutes into trading and will be watched. Asian shares off sharply, Europe mixed to lower.

Volatility as an asset class

Sysco (SYY) is down 70c to $34.38 in the premarket after the food distribution company reported Q2 earnings fell 4.8% on higher expenses and less than expected revenue. February weekly call option implied volatility is at 30, March is at 18, August is at 16; compared to its 26-week average of 21.

Herbalife (HLF) is up $1.43 to $65.80 after the marketer of weight loss and fitness supplements increased its outlook, boosting its buyback and announcing a $1B convertible note offering. February call option implied volatility is at 94, May is at 74, August is at 65; compared to its 26-week average of 54.

iShares FTSE Xinhua China 25 Index (FXI) is down 16c to $34.42 in the premarket as the index trades near a six-month low. February weekly call option implied volatility is at 29, February is at 25, March is at 24 and May is at 23; compared to its 26-week average of 23.

Options expected to be active @ CBOE:  HLF ZNGA FB PBR LNKS P AOL EXPE NEM TWTR

CBOE S&P 500 BuyWrite Index (BXM) at 1001.64, below its 50-day moving average of 1010.22. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 247.71, below its 50-day moving average of 252.74. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 19.32, compared to its 10-day moving average of 16.42 VXST is a market-based gauge of expectations of 9-day volatility.  cboe.com/vxst

CBOE Volatility Index (VIX) at 18.41, above its 10-day moving average of 15.63 and its 50-day moving average of 14.02. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) gave up early gains and is flat. Japan’s Nikkei closed down 2% and has entered correction territory, which is a fall of 10% or more from a recent peak.

Calls with increasing volume at CBOE:

GLD 12/20/2014 130 21K contracts
UUP 2/22/2014 22 20K
SPY 2/7/2014 181 18K
ARAY 9/20/2014 12.50 13K
AAPL 1/31/2014 500 13K
QQQ 1/31/2014 86 13K
GDX 6/21/2014 25 12K