CBOE Mid-day Update 9.9.13

Volatility as an asset class

Fusion-io (FIO) is recently up $2.07 to $12.89 after Craig-Hallum upgraded the data-storage company to Buy from Hold and raised its price target to $18 from $12. The firm believes Western Digital’s (WDC) acquisition of Virident will result in competitors Seagate (STX), Micron (MU) and Samsung to consider a strategic move in response. September call option implied volatility is at 57, October is at 56, December is at 60; compared to its 26-week average of 58.

Hovnanian (HOV) is recently up 13c to $5.17 after the homebuilder reported a quarterly report that included headline earnings and revenues that missed the consensus forecast of analysts. September call option implied volatility is at 50, October is at 53, November is at 50; compared to its 26-week average of 54.

Apple (AAPL) is recently up $8.54 to $506.78 into the introduction of two phones on September 10 (separate event on September 11 for China) iPhone 5S and iPhone 5C. AAPL 09/13/13 call option implied volatility is at 43, September is at 33, October is at 31, November is at 30; compared to its 26-week average of 28.

Molex (MOLX) is recently up $9.22 to $38.56 after being acquired by Koch Industries for $38.50 per share. September call option implied volatility is at 15, November is at 16; below its 26-week average of 24.

Delta Air Lines (DAL) is recently up $1.36 to $21.23 after its selection to replace BMC Software (BMC) in S&P 500. September call option implied volatility is at 44, October is at 40, December is at 41; compared to its 26-week average of 41.

CBOE Interest Rate 5 Year Note (FVX) is recently down 3.5% to 17.06, above its 50-day moving average of 14.80 as Proshares UltraShort Barc 20 Year Treasury ETF (TBT) decreases 0.9% to $79.93.

CBOE 30-Year Treasury Bond (TYX) is recently down 0.9% to 38.39, above its 50-day moving average of 36.95.

CBOE S&P 500 BuyWrite Index (BXM) is recently up $4.04 to $961.54, above its 50-day moving average of 961.54. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up $8.55 to 1292.20, above its 50-day moving average of 1290.16. www.cboe.com/BXY

Active options at CBOE:  FB AAPL TSLA SFD CMCS POT C FIO LVS

CBOE Volatility Index (VIX) is recently down 36c to 15.41. VIX September 18, 20 & 23 calls are active on total option volume of 302K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 3.1% to 15.62.

S&P 100 Options (OEX) is recently up $4.78 to $744.33 on Chinese data and merger activity creating investor optimism.