Blogging Options: CBOE Mid-day Update

Volatility as an asset class;
 
Nike (NKE) is recently down 66c to $97 after announcing a new $8B share repurchase program. October call option implied volatility is at 29, January is at 23; compared to its 26-week average of 26.

Norfolk Southern (NSC) is recently down $6.62 to $66.07 after reducing its Q3 EPS outlook. October call option implied volatility is at 24, December and January is at 21; compared to its 26-week average of 23.
 
J.C. Penney (JCP) is recently down $2.90 to $26.19 a day after CEO Ron Johnson previewed the company’s progress on its “store within a store” makeover plan to analysts and investors. October put option implied volatility is at 50, November is at 59, January is at 56; compared to its 26-week average of 49.
 
CBOE Mini-SPX (XSP) is recently down .45 to 145.65 on renewed global economic concerns.

CBOE Volatility Index (VIX) is recently up 60c to 14.48. October 20 and 24 calls are active on total option volume of 408K contacts at the CBOE.