Blogging Options: CBOE Morning Update 9.10.11

Volatility as an asset class

Apple (AAPL) is up $1.32 to $507.52 in the premarket into the expected introduction iPhone 5S and iPhone 5C.  AAPL 09/13/13 call option implied volatility is at 42, September is at 32, October is at 31, November is at 30; compared to its 26-week average of 28.

Apple September 9/13/13 505 straddle is at $17.20, November is at $53.40, December is at $61.50.  More on this later this morning.

VIX methodology for Apple (VXAPL) closed at 30.76, at its 10-day moving average of 30.76 and above its 50-day moving average of 28.18.  www.cboe.com/VXAPL

McDonald’s (MCD) is up $0.75 to $97.20 after reporting August U.S. SSS up 0.2%, Europe SSS up 3.3%, and Asia/Pacific, Middle East and Africa SSS down 0.5%. Overall option implied volatility of 16 is near its 26-week average of 15.

Options expected to be active @ CBOE; ALU NOK STWD BBRY AAPL FB, GS, V, NKE.

CBOE S&P 500 BuyWrite Index (BXM) is recently closed at $963.08, above its 50-day moving average of 956.68. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 15.85, below its 10-day moving average of 16.17 and above its 50-day moving average of 14.33. www.cboe.com/VIX

Calls with increasing volume at CBOE:

CMCSA 10/19/2013 45 29K contracts
XLK 9/27/2013 33 20K
SPY 10/19/2013 179 11K
BAC 5/17/2014 15 9K
XLF 6/21/2014 22 8K
INTC 11/16/2013 24 8K
TWX 10/19/2013 65 8K

SPDR S&P 500 futures up 10 points on China industrial output at a 17-month high.

Other big news this morning is the DJIA replacing three stocks.  Out is Hewlett, Alcoa and BofA.  In is Goldman (GS), Nike (NKE) and Visa (V).  This takes effect after the close of trading Sept. 20th.  Sept. 20 is also “Triple Witch” expiration Friday.