Blogging Options: COE Morning Update 8.16.13

Volatility as an asset class

Dell (DELL) is up $0.03 to $13.73, earnings beat on the top and bottom line but it posted net income of $204M, a 72% decline against the prior year period. August weekly call option implied volatility is at 20, September is at 9, October is at 8, November is at 7; compared to its 21-week average of 17.

Applied Materials (AMAT) is down  $0.12 to $15.20 in the premarket after the semiconductor-equipment company Q3 earnings and outlook missed expectations.  Overall option implied volatility of 36 is above its 26-week average of 28.

Nordstrom (JWN) is down $1.74 to $57.59  after the retailer lowered its full-year guidance. August call option implied volatility is at 34, September is at 23, October is at 22;  26-week average is 24.

JoS. A. Bank (JOSB) is lower by $3.35 to $40.75 after the clothing retailer said its second quarter earnings and revenue are on track to come in below expectations. Overall option implied volatility of 39 is near its 26-week average.

Options expected to be active @ CBOE; FB HD LOW TGT JOSB DELL AMAT JCP BBY

CBOE S&P 500 BuyWrite Index (BXM) closed at $953.83, above its 50-day moving average of 956.87.

CBOE Volatility Index (VIX) closed at 14.73, above its 10-day moving average of 12.85 and below its 50-day moving average of 14.88.

SPDR S&P 500 ETF Trust (SPY) is recently up 2c to $166.40 after yesterday’s steepest retreat in two-months.

Calls with increasing volume at CBOE:

SPY 8/17/2013 167 23K contracts
VXX 10/19/2013 25 15K
XLF 12/21/2013 22 15K
AAPL 8/17/2013 500 14K

Q2 Productivity + 0.9%.  Housing Starts for July reported at 896k,  Some minor revisions lower to previous data.

August option expiration today.