Blogging Options: CBOE Morning Update 8.22.13

Volatility as an asset class

Abercrombie & Fitch (ANF) is down $8.40 to $38.40 in the premarket after the teen retailer reported a Q2 profit decrease of 33% and issued a weak outlook. Overall option implied volatility of 74 is above its 26-week average of 39.

Hewlett-Packard (HPQ) is off $2.02 to $23.35 after reporting less than expected Q3 results. Overall option implied volatility of 44 is above its 26-week average of 34.

Sears Holdings (SHLD) is lower by $3.27 to $40 after the retailer reported a Q2 loss on lower revenue and weak margins.  September call option implied volatility is at 58, October is at 48, December is at 43; compared to its 26-week average of 45.

L Brands (LTD) is down $1.35 to $58.50 in the premarket after the retailer reported a Q2 profit increase of 25%. Overall option implied volatility of 27; compared to its 26-week average of 25.

Options expected to be active @ CBOE; RIO MSFT ONXX YHOO HPQ P ARO ANF AEO

CBOE S&P 500 BuyWrite Index (BXM) closed at $948.04, below its 50-day moving average of 958.42. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 15.94, above its 10-day moving average of 13.93 and its 50-day moving average of 14.80. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 23c to $164.79 after China and Germany reported better than expected economic data.

Calls with increasing volume at CBOE:

SPY 9/21/2013 165 16K contracts
PFE 1/17/2015 30 12K
ADM 3/22/2014 37 10K
C 10/19/2013 50 10K
HPQ 9/21/2013 28 9K
XLF 12/21/2013 22 9K

Stock futures higher but 10-year ticked above 2.9% earlier this morning.  Jobless claims a little higher than expected.