Blogging Options: CBOE Mid-day Update 8.19.2013

Volatility as an asset class

Zillow (Z) is recently down $4.06 to $87.16 after announcing it has entered into a definitive agreement to acquire StreetEasy, the leading real estate website in New York City, for $50M in cash. September call option implied volatility is at 54, October is at 52, November is at 58; compared to its 26-week average of 52.

Financial Select Sector (XLF) is recently down 13c to $19.89 on large bank holding companies have considerably improved their capital planning processes in recent years, but have more work to do to enhance their practices for assessing the capital they need to withstand stressful economic and financial conditions, the Federal Reserve said in a paper released on Monday. Overall volatility is at 18, is near its 26-week average of 19.

JP Morgan (JPM) is recently down $1.11 to $52.17 on a probe that has begun into its hiring practices in China, centering on whether the bank hired the children of prominent Chinese officials as a means to win business. August weekly call option implied volatility is at 23, September is at 21, November is at 21; compared to its 26-week average of 21.

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently down 0.1% to 1278.20, below its 10-day moving average of 1297.28.


CBOE Volatility Index (VIX) is recently up 29c to 14.66. VIX August 14, 15, 16 and 17 calls are active on total option volume of 741K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) up 1.1% to 15.13.

S&P 100 Options (OEX) is recently up 6c to $742.44 as Treasury yields rise and Apple (AAPL) rally’s 1.9% to $512.