Blogging Options: CBOE Mid-Day Update 9.10.13

Volatility as an asset class

Croc (CROX) is down $0.37 to $13.22 after the footwear maker lowered its already weak earnings and revenue guidance for Q3.  September call option implied volatility is at 38, October is at 32, December is at 37; compared to its 26-week average of 38.

Netflix (NFLX) is up $14.80 to $308.95, a new record high, on a deal with Virgin Media.  September weekly call option implied volatility is at 49, October is at 41, November is at 52; below its 26-week average of 54.

Five Below (FIVE) is higher by $6.84 to $47.88 after the discount retailer reported Q2 profit more than tripled.  September call option implied volatility is at 44, October is at 35, February is at 36; compared to its 26-week average of 42.

Apple (AAPL, $503, down $3.17) September 9/13/13 505 straddle is at $16.10, off ~$1.00 from yesterday’s close.  November straddle is at $52, December is at $59.10 into the expected introduction iPhone 5S and iPhone 5C.

VIX methodology for Apple (VXAPL) is recently down 99c to 29.78; below its 10-day moving average of 30.83 and above its 50-day moving average of 28.17.  www.cboe.com/VXAPL

CBOE Interest Rate 5 Year Note (FVX) is down 2.5% to 17.46, above its 50-day moving average of 14.87 as CBOE 30-Year Treasury Bond (TYX) is recently up 8c to 38.48, above its 50-day moving average of 37.02.

CBOE S&P 500 BuyWrite Index (BXM) is up $2.60 to $965.68, above its 50-day moving average of 957.07. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is up $5.70 to 1301.10, above its 50-day moving average of 1290.83. www.cboe.com/BXY

Active options at CBOE:  C AAPL NFLX POT TSLA MSFT BIDU MOS KGC

CBOE Volatility Index (VIX) is down 80c to 14.83. VIX September 16 and 23 calls and September 14 & 15 puts are active on total option volume of 496K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 2.6% to 15.11.

S&P 100 Options (OEX) is up $4.22 to $750.74 on Russian proposing a solution to avoid a Syrian crisis.  Crude lower by 3%, Gold off as well. 10-year 2.93%,