Blogging Options: CBOE Morning Update 8.30.13

Volatility as an asset class

Salesforce.com (CRM) is up $3.59 to $47.24 in the premarket  after the web based business software company reported Q2 revenue of $957M, up 31% year-over-year. September call option implied volatility is at 49, October is at 40; compared to its 26-week average of 37.

Splunk (SPLK) is higher by $4.58 to $53,50 after the data analysis firm reported Q2 revenue grew 50% to $66.9M. September call option implied volatility is at 51, October is at 42, February is at 37; compared to its 26-week average of 41.

Krispy Kreme (KKD) is down $2.80 to $20.43 in the premarket after the doughnut chain reported less than expected Q2 results.  September call option implied volatility is at 61, October is at 53, February is at 44; compared to its 26-week average of 43.

Options expected to be active @ CBOE; CRM USO XLE XOM CVX BP RDS KKD SPLK

CBOE S&P 500 BuyWrite Index (BXM) closed at $948.04, below its 50-day moving average of 954.78. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.81, above its 10-day moving average of 15.40 and its 50-day moving average of 14.63. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up $0.28 to $164.45 on weak oil prices as traders adjust positions into the last day of the trading month.

Calls with increasing volume at CBOE:

VXX 10/4/2013 21 22K contracts
EWZ 9/21/2013 45 19K
SPY 8/30/2013 165 16K
MU 10/19/2013 15 10K
BRCM 9/21/2013 26 6K
QQQ 9/21/2013 76 6K

Puts with increasing volume at CBOE:

VXX 12/21/2013 13 24K contracts
SPY 8/30/2013 164 14K
QQQ 8/30/2013 76 12K
IWM 9/21/2013 102 9K
CSCO 1/17/2015 20 9K

Income and Spending both rose 0.1% in July, but came in below expectations.  Apache (APA) is up $5.76 to $84.40 as it is selling oil fields in Egypt.  U of M later this morning.