Blogging Options: CBOE Morning Update 8.28.13

Volatility as an asset class

Workday (WDAY) is off $0.06 to $75.95 in the premarket after the enterprise software company reported strong Q2 revenue growth.  September call option implied volatility is at 49, October is at 41, December is at 39; compared to its 26-week average of 42.

Chico’s FAS (CHS) is higher by $0.50 to $15.83 after the retailer reported Q2 revenue of $649.5M, compared to consensus $676.93M. September call option implied volatility of is at 41, October is at 34, November is at 33; compared to its 26-week average of 34.

TiVo (TIVO) is up 43c to $11.40 on an optimistic outlook. August weekly call option implied volatility is at 106, September is at 48, November is at 37; compared to its 26-week average of 48.

Qihoo 360 Technology (QIHU) is down $3.26 to $76 in the premarket after the Internet firm announced a $550M offering of convertible senior notes due 2018. Overall option implied volatility of 59 is above its 26-week average of 50.

Options expected to be active @ CBOE; TSLA BHP FB AAPL MSFT
CBOE S&P 500 BuyWrite Index (BXM) closed at $944.35, below its 50-day moving average of 955.51. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.77, above its 10-day moving average of 14.85 and its 50-day moving average of 14.63. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 12c to $163.21 as European stocks fall as energy prices increase on tensions in Syria.

Calls with increasing volume at CBOE:

SPY 11/16/2013 172 49K contracts
VXX 9/6/2013 16.50 10K
TIF 9/21/2013 85 10K

Puts with increasing volume at CBOE:

SPY 8/30/2013 163 29K contracts
EEM 9/21/2013 37 13K

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