Blogging Options: CBOE Morning Update 7.3.14

June NFP showed a gain of 288k jobs, above consensus and near ADP #.  April & May numbers tweaked higher.  Stock Futures higher but unchanged after report released.   Labor Force Participation Rate unchanged at 62.8% for the third consecutive month.  PetSmart up $8 in the premarket, GLD off $1, oil lower.  European stocks modestly higher on ECB keeping rates unchanged.  Early close today.  Enjoy the 4th.

Volatility as an asset class

Consumer Discretionary Sector SPDR (XLY) overall option implied volatility of 12 is below its 26-week average of 14.

Consumer Staples Sector SPDR (XLP) overall option implied volatility of 9 is below its 26-week average of 12.

Energy Select Sector SPDR (XLE) overall option implied volatility of 14 is below its 26-week average of 16.

Financial Select Sector (XLF) overall option implied volatility of 13 below at its 26-week average of 18.

S&P Select Materials SPDR (XLB) overall option implied volatility of 11 is below its 26-week average of 14.

Technology Select Sector SPDR (XLK) overall option implied volatility of 11 is below its 26-week average of 15.

Industrial Select Sector SPDR (XLI) overall option implied volatility of 13 is below its 26-week average of 15.

Health Care Select Sector SPDR (XLV) overall option implied volatility of 12 is near its 26-week average of 14.

Utilities SPDR (XLU) overall option implied volatility of 13 is at its 26-week average according to Track Data.

GoPro (GPRO) options begin trading @ CBOE on July 7

Options expected to be active @ CBOE: FB TWTR AMZN AAPL

CBOE S&P 500 Short-Term Volatility Index (VXST) at 9.42, compared to its 10-day moving average of 10.62. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 28c to 27.27

CBOE Volatility Index (VIX) closed at 10.82, compared to its 10-day moving average of 11.26 and its 50-day moving average of 12.16 cboe.com/VIX

CBOE Nasdaq-100 Volatility Index (VXN) at 11.98, above its 10-day moving average of 11.23 stks.co/f0TCX

SPDR S&P 500 ETF Trust (SPY) is recently up 23c to $197.46 into a holiday shortened trading day.

Calls with increasing volume at CBOE:

SPY 7/11/2014 200 13K contracts
VXX 7/3/2014 28 11K
IWM 8/16/2014 125 10K
MNKD 11/22/2014 5.50 9K
BAC 7/3/2014 16 9K
AAPL 7/3/2014 94 8K