Blogging Options: CBOE Mid-day Update 8.21.13

Volatility as an asset class

Veolia Environment (VE) is recently up $1.05 to $15.29 after the water and waste management company was upgraded to Overweight from Equalweight at Morgan Stanley. Overall option implied volatility of 27 is below its 26-week average of 30.

American Eagle (AEO) is recently down $1.61 to $14.77 after the teen retailer on offered a downbeat profit forecast. September call option implied volatility is at 33, November is at 32; compared to its 26-week average of 34.

J.C. Penney (JCP) is recently down 49c to $13.52 a day after announcing worse than expected results and guidance. September call option implied volatility of 61 is a below a level of 100 from August 19 and its 26-week average of 65.

CBOE Interest Rate 5 Year Note (FVX) up 1.2% to 15.61 into Fed minutes release.

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently down 0.4% to 12.72, below its 10-day moving average of 1290.77.


CBOE Volatility Index (VIX) is recently up 1.45 to 16.36. VIX September 16, 17, 19, 20, 21 and 24 calls are active on total option volume of 427K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) up 2.8% to 15.65.

S&P 100 Options (OEX) is recently down $2.38 to $737.22 on concerns the Federal Reserve will ease the purchase of U.S. Treasury’s.