Blogging Options: CBOE Morning Update 1.9.15

NFP for December climbed to 252K (240K to 244K expected), Jobless rate fell from 5.8% to 5.6% (5.7% expected).  November jobs revised higher.  The negative side of the report was the Participation Rate fell to a 37-year low (451K dropped out last month), and Average Wages dropped a surprising 0.2%. Volatility as an asset class

Bed Bath and Beyond (BBBY) is down $3.55 to $75.90 in the premarket on Q3 profit falling 5%. January weekly call option implied volatility is at 126, January is at 54, February is at 35, May is at 25; compared to its 26-week average of 24.

Macy’s (M) is lower by $1.73 to $66.08  after announcing November and December comparable sales rose 2.7% and plans to close 14 of its stores and book charges of up to $110M. Overall option implied volatility of 26 compares to its 26-week average of 25.

Container Store (TCS) is off $2.21 to $19 in the premarket after reporting Q4 SSS rose 2.7% quarter to date over same period last year. Overall option implied volatility of 96 is above its 26-week average of 45.

Options expected to be active at CBOE:  BBBY M SBUX YELP INFY GMCR TCS

CBOE Equity Options Volume; calls 1,215,395, puts 655,615, total 1,871,010 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.38 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 50.96, compared to its 50-day moving average of 41.48, WTI Crude oil trades near $49. cboe.com/OVX

CBOE VIX methodology iShares Trust FTSE China 25 Index Fund (VXFXI) closed at 25.57, compared to its 50-day moving average of 25.21

CBOE S&P 500 Skew Index (SKEW) at 124.77, compares to its 50-day moving average of 129.97.
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 1085.29 compared to its 10-day moving average of 1078.44 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 266.26 compared to its 50-day moving average of 262.37 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.14 compared to its 50-day moving average of 16.86.

CBOE 3-Month Volatility Index (VXV) at 18.66, compared to its 50-day moving average of 17.39 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.04, compared to its 10-day moving average of 13.32 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 41.58; compared to its 10-day moving average of 41.60.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 25c to 31.02.

CBOE Volatility Index (VIX) at 17.01, compared to its 50-day moving average of 15.32 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) rallied back to unchanged after the jobs report, at 205.90.  Chinese stocks ended lower today after hitting their highest level in over five years during the session.

Calls with increasing volume at CBOE:
SPY      1/9/2015   206 26K contracts
AAPL    1/9/2015  112 15K
CSCO   2/20/2015  29 12K
IWM     1/9/2015  118 10K