Blogging Options: CBOE Mid-day Update 9.5.13

Volatility as an asset class

JoS. A. Bank (JOSB) is recently up $2.65 to after the clothing retailer reported Q2 EPS of 51c on revenue of $232.5M, compared to consensus $232.25M. September call option implied volatility is at 34, October is at 32, January is at 33; compared to its 26-week average of 35.

LinkedIn (LNKD) is recently up $5.74 to $244.67 after selling a greater than expected 5.4M shares for $223 each.  September call option implied volatility is at 34, October is at 35, November is at 45; compared to its 26-week average of 40.

Facebook (FB) is recently up 57c to $42.36 after recently trading at new record high of $42.70. September call option implied volatility is at 34, October is at 35, December is at 41; compared to its 26-week average of 37.

CBOE Interest Rate 5 Year Note (FVX) is recently up 5.3% to 18.34, above its 50-day moving average of 14.66 as Proshares UltraShort Barc 20 Year Treasury ETF (TBT) increases 2.3% to $80.83.

CBOE 30-Year Treasury Bond (TYX) increases 1.9% to 38.69, above its 50-day moving average of 36.83 into August jobs report.

CBOE Crude Volatility Index (OVX) is recently down 2.5% to 28.02, above its 50-day moving average of 24.22 as WTI Crude oil trades above $108.29. http://www.cboe.com/ovx

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up 0.2 % to 1283.60, below its 50-day moving average of 1289.45. www.cboe.com/BXY

Active options at CBOE:  AAPL MSFT NOK C F OPK FB BBRY

CBOE Volatility Index (VIX) is recently down 12c to 15.76. VIX September 16, 19 & 20 calls are active on total option volume of 189K contacts at the CBOE.

Over the past 13 years, the CBOE Volatility Index (VIX) rose more than 20% in 6 different Septembers.

http://www.cboeoptionshub.com/2013/09/03/two-blackrock-papers-1-volatile-september-1-vix-portfolio/

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.8% to 16.04.

S&P 100 Options (OEX) is recently up $1.20 to $740.12 into Friday’s August payrolls report.