Blogging Options: CBOE Mid-day Update 9.12.13

Volatility as an asset class

SPDR Gold Trust (GLD) is recently down $3.05 to $128.64 as gold declines 2.52% to $1,329 according to Bloomberg.  September call option implied volatility is at 22, October is at 21, November and December is at 19; compared to its 26-week average of 19.

CBOE Gold ETF Volatility Index (GVZ) is recently up $1.42 to $24.04, near its 10-day moving average of 23.91 as gold trades at a four-week low.

Baidu (BIDU) is recently down $3.71 to $143.60 after the Chinese Internet portal recently traded at a 16-month high. Overall option implied volatility of 41 is near its 26-week average of 39.

Weatherford (WFT) is recently down 81c to $14.92 after the oil services company announced its CFO departure and asset sales. October call option implied volatility is at 32, November and January is at 33; compared to its 26-week average of 34

Royal Caribbean (RCL) is recently up 32c to $39.05 after the cruise-liner more than doubled its dividend. Overall option implied volatility of 26 is below its 26-week average of 28.

CBOE Interest Rate 5 Year Note (FVX) is recently down 2.2% to $16.71, above its 50-day moving average of 14.99 as CBOE 30-Year Treasury Bond (TYX) is recently down 1.3% to $38.11, above its 50-day moving average of 37.17.

CBOE S&P 500 BuyWrite Index (BXM) is recently down $1.82 to $967.56, above its 50-day moving average of 957.87. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently down $2.80 to 1304.55, above its 50-day moving average of 1292.07. www.cboe.com/BXY

Active options at CBOE:  AAPL P FB NFLX TSLA C LNG ABX SFD

CBOE Volatility Index (VIX) is recently up 33c to 14.15. VIX September 15 and 16 calls are active on total option volume of 322K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 5c to 14.52.

S&P 100 Options (OEX) is recently down 1.80 to $752.34 as Syrian President Bashar Assad complicates hopes for a diplomatic solution.

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