Blogging Options: CBOE Mid-Day Update 8.23.13

Volatility as an asset class

Microsoft (MSFT) is up $1.95 to $34.35 after CEO Steve Ballmer announced plans to retire. September call option implied volatility is at 22, October is at 20, November is at 22, December is at 20; compared to its 26-week average of 21.

Gap (GPS) is down $0.37 to $41.65 after the retailer reported Q2 profits increased 25%. September call option implied volatility is at 26, October and January is at 25; compared to it 26-week average of 38.

Ann Taylor (ANN) is up $1.02 to $33.65 after the women’s apparel retailer reported Q2 sales rising 7.3% to $638M. September call option implied volatility is at 27, October is at 28, December is at 31; compared to its 26-week average of 38.

Aruba Networks (ARUN) is lower by $0.35 to $17.73 after the wireless equipment maker reported Q4 revenue increasing 9.9% to $153M. September call option implied volatility is at 44, October is at 43, January is at 43; compared to its 26-week average of 48.

CBOE Interest Rate 5 Year Note (FVX) down 2.6% to 16.42 as Treasury rates pullback from two-year high.

CBOE S&P 500 2% OTM BuyWrite (BXY) is up 0.2% to 1283, below its 10-day moving average of 1285.72. www.cboe.com/BXY

Actives:  AAPL FB MSFT ABX BBRY BAC C HAL TSLA

CBOE Volatility Index (VIX) is down 0.41 to 14.35. VIX September 15, 18 and 28 calls are active on total option volume of 103K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) is down 1.2% to 14.94.

S&P 100 Options (OEX) is up $1.32 to $742.

U.S., purchases of new U.S. homes decreasing in July by the most in three years, declining 13.4% to a 394,000 annualized pace (Price Headley’s piece on Monday ‘s showed the consensus at 490k). June sales revised lower by more than 40k.  European stocks closed with a slight gain.

Option volume getting back to normal.  MSFT trades 750k options, SPX at 300k, VIX 150k. ~2.2 million options trade mid-day.