Blogging Options: CBOE Mid-day Update 9.4.13

Volatility as an asset class

Francesca’s (FRAN) is recently down $6.17 to $17.95 after the women’s retailer reported a Q2 profit increase of 16% on higher revenue, but lowered its view for the year. September call option implied volatility is at 51, October is at 43, January is at 46; compared to its 26-week average.

General Motors (GM) is recently up $1.25 to $35.39 on August U.S. sales rose 15% from a year earlier. September, October and December call option implied volatility is at 26; compared to its 26-week average of 28.

Ford (F) is recently up 58c to $16.92 on August U.S. sales climbing 12% from a year earlier. September, October, November and December call option implied volatility of is at 26 is near its 26-week average of 27.

LinkedIn (LNKD) is recently down $4.38 to $241.88 on a proposed offering of $1B of common stock. September call option implied volatility of 33, October is at 36, November is at 44; compared to its 26-week average of 40.

Dollar General (DG) is recently up $3.16 to $57.05 on Q2 earnings rising 15%. September call option implied volatility is at 25, October is at 26, January is at 27; compared to its 26-week average of 29.

J.C. Penney (JCP) is recently up 83c to $13.54 on Glenview Capital reporting a 9.1% passive stake. September call option implied volatility of 56, October is at 54, November is at 56; compared to its 26-week average of 59.

CBOE Interest Rate 5 Year Note (FVX) is recently up 2.5% to 17.17 into this afternoon’s beige book release.

CBOE Crude Volatility Index (OVX) is recently down 2.2% to 28.80 as WTI Crude oil trades below $108. http://www.cboe.com/ovx

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up 0.8 % to 1282, below its 50-day moving average of 1288.94. www.cboe.com/BXY

Actives:  AAPL MSFT MU BAC F OPK FB JCP NOK C

CBOE Volatility Index (VIX) is recently down 77c to 15.84. VIX September 17 calls and puts are active on total option volume of 265K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 0.7% to 16.30.

S&P 100 Options (OEX) is recently up $6.14 to $739.46 as European stocks rise into Friday’s August payrolls report.