Blogging Options: CBOE Morning Update 9.5.13

Volatility as an asset class

Pozen (POZN) is up $0.56 to $5.86 on signing a commercialization agreement with Sanofi (SNY) for the commercialization of Pozen’s aspirin therapies. Overall option implied volatility of 65 is near its 26-week average of 64.

Groupon (GRPN) is higher by $0.59 to $10.88  after Morgan Stanley upgraded the Internet commerce company based on increased confidence in the North American turnaround given strength in mobile and the introduction of the deal bank. Price target raised to $14 from $11. Overall option implied volatility of 62 is near its 26-week average of 64.

BlackBerry (BBRY) is up 39c to $11.14 on the handset company seeking to run a quick auction process in selling itself, with the process potentially wrapped up by November, reports The WSJ. Overall option implied volatility of 69 is above its 26-week average of 62.

Options expected to be active @ CBOE; POZN GRPN ASTX BBRY NOK MSFT LNKD ALU MSFT JCP FB

CBOE S&P 500 BuyWrite Index (BXM) closed at $955.90, below its 50-day moving average of 955.69. www.cboe.com/BXM

Over the past 13 years, there have been four months of September in which the S&P 500 fell by more than 8%, while the BXM and PUT indexes fell by more than 8% in only one September over the past 13 years. http://www.cboeoptionshub.com/2013/09/03/two-blackrock-papers-1-volatile-september-1-vix-portfolio/

CBOE Volatility Index (VIX) 15.93, near its 10-day moving average of 15.92 and above its 50-day moving average of 14.43. www.cboe.com/VIX

Calls with increasing volume at CBOE:

BAC 9/21/2013 15 23K contracts
OPK 1/18/2014 10 22K
MSFT 9/21/2013 32 20K
IWM 9/21/2013 106 8K
AAPL 9/6/2013 500 6K
UUP 9/21/2013 22 6K
SPY 9/21/2013 167 6K
NOK 1/18/2014 4.50 5K
GE 12/21/2013 24 4K

SPDR S&P 500 ETF Trust (SPY) is up 24c to $165.95 into the release of the August employment on Friday.  ADP a non-event, weekly claims improve slightly.