Blogging Options: CBOE Morning Update 9.4.13

Volatility as an asset class

Ciena (CIEN) is up $2.15 to $22.83 in early trading after telecom-equipment company reported Q3 revenue of $538M, compared to consensus $535M. Overall option implied volatility of 52 is above its 26-week average of 47.

H&R Block (HRB) is down $0.93 to $26.12 after the tax-service provider reported a larger than expected Q1 loss on revenue of $127M, compared to consensus $98M. Overall option implied volatility of 32 is near its 26-week average of 31.

Navistar (NAV) is recently down $1.26 14c to $32.75 this morning after the large chassis vehicle manufacturer reported Q3 adjusted EPS ($2.94), compared to consensus ($1.30). September weekly call option implied volatility is at 167, September is at 73, October is at 60, January is at 52; above its 26-week average of 49.

Options expected to be active @ CBOE; NOK MSFT LNKD ALU MSFT JCP CIEN VOD FB

CBOE S&P 500 BuyWrite Index (BXM) is at $954, up $3.84.  This is below its 50-day moving average of 955.21. www.cboe.com/BXM

CBOE Volatility Index (VIX) is off 0.42 in the first 45 minutes, to 16.19, above its 10-day moving average of 15.82 and its 50-day moving average of 14.52. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is higher by $0.79 to $165.18 after leaders of a U.S. Senate panel said they reached an agreement on Tuesday on draft authorization for the use of military force in Syria.

Calls with increasing volume at CBOE:

NOK 1/18/2014 5 13K contracts
JPM 9/21/2013 55 12K
BP 10/19/2013 45 10K
MGM 11/16/2013 19 10K
SPY 11/16/2013 173 9K
IP 1/18/2014 50 9K
MSFT 9/21/2013 33 7K
AAPL 9/6/2013 500 6K

MSFT lower on downgrade, eyes still on middle-east.