Blogging Options: CBOE Morning Update 9.12.13

Volatility as an asset class

Lululemon Athletica (LULU) is recently down $6.02 to $62.75 in the premarket after the yoga wear maker lowered its Q3 and for year guidance.  September weekly call option implied volatility is at 140, September is at 79, October is at 49, December is at 42; compared to its 26-week average of 39.

Qualcomm (QCOM) is indicated up $0.80 after announcing new $5B share repurchase program.  September call option implied volatility is at 34, October is at 21, January is at 22; compared to its 26-week average of 23.

Pandora (P) is up $1.59 to $22.97 after the digital music service named Brian McAndrews as its CEO, president, and chairman, effectively immediately. Overall option implied volatility of 55 is below its 26-week average of 59.

Men’s Warehouse (MW) is down $5.07 to $33.70  after reporting worse-than-expected earnings and cutting its full-year earnings outlook.  September call option implied volatility is at 58, October is at 40, February is at 34; compared to its 26-week average of 36.

Apple (AAPL) is up $2.20 to $469.80 in the premarket a day after the introduction of iPhone 5C in China for about $730. September 9/13/13 call option implied volatility is at 38, September is at 30, October is at 27, November is at 30; compared to its 26-week average of 28.

VIX methodology for Apple (VXAPL) closed @ 29.49, below its 10-day moving average of 30.62 and above its 50-day moving average of 28.16.  www.cboe.com/VXAPL

Options expected to be active @ CBOE; AAPL NOK LULU P BP BHP TOT ALY FB YHOO ARMH

CBOE S&P 500 BuyWrite Index (BXM) closed at $969.38, above its 50-day moving average of 957.50. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.53, below its 10-day moving average of 16.13 and above its 50-day moving average of 14.20. www.cboe.com/VIX

Calls with increasing volume at CBOE:

VALE 10/19/2013 18 30K contracts
SPY 9/21/2013 169 13K
XLK 12/21/2013 34 9
FB 10/19/2013 45 8K
AAPL 9/13/2013 470 7K
DOW 9/21/2013 41 7K

SPDR S&P 500 ETF Trust (SPY) is unchanged as European stocks and metal prices decline.

Weekly Claims should be ignored – several states did not transmit data.

 

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