Blogging Options: CBOE Morning Update 12.5.14

Non-Farm Payrolls for November spiked up to a gain of 321K, previous months revised higher by 44K.  Unemployment rare unchanged.  Consensus was a gain of ~225K to 235K.  This was the largest gain in employment since Jan of 2012.  The Participation Rate was unchanged at 62.8%.  Gold off 1%, oil down fractionally. 10-year up to 2.31%. US stock futures keep small gains going into regular session.  Volatility as an asset class:

Google (GOOG) is down $5.40 to $531.90 in the premarket after being downgraded to Neutral from Buy at BofA/Merrill. Overall option implied volatility of 19 is below its 26-week average of 22.

VIX methodology for Google (VXGOG) at 20.45, below its 50-day moving average of 23.86. cboe.com/VXGOG

Yahoo (YHOO) is up $080 to $51.21 after being upgraded to Buy from Neutral at BofA/Merrill. Overall option implied volatility of 32 is below its 26-week average of 37.

Ambarella (AMBA) is down $0.68 to $54.95 in the premarket after the developer of low power, HD video compression and image processing semiconductors reported stronger than expected Q3 results. Overall option implied volatility of 67 is above its 26-week average of 52.

Options expected to be active @ CBOE: AEO YHOO GOOG ULTA FIVE GPS AEO GERN

CBOE Equity Options Volume 876,429 calls, 579,656 puts cboe.com

CBOE Interest Rate 5 Year Note (FVX) 15.87 into November job report

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 4.99, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 35.39, compared to its 50-day moving average of 30.67, WTI Crude oil trades below $67. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 128.72, compares to its 50-day moving average of 127.57. 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 S&P 500 BuyWrite Index (BXM) at 1070.71 compared to its 10-day moving average of 1068 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.31 compared to its 50-day moving average of 261.96 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.98; compared to its 50-day moving average of 17.55.

CBOE 3-Month Volatility Index (VXV) at 15.64, compared to its 50-day moving average of 17.20 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.88, compared to its 10-day moving average of 11.86 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 35.84; compared to its 50-day moving average of 41.86.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.14.

CBOE Volatility Index (VIX) at 12.38, compared to its 50-day moving average of 15.69. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 29c to $207.96 as European shares are on the rise with upbeat U.S. jobs data and strong German factory orders.

Calls with increasing volume at CBOE:

AAPL   12/5/2014     116 13K contracts
DOW 12/20/2014  52.50 12K
SPY      12/5/2014     208   7K
BAC   12/20/2014  17.50  7K
JCP       5/15/2015        9   6K
GLD     1/17/2015    120   5K