Blogging Options: CBOE Update 9.13.13

Volatility as an asset class

Intel (INTC) is recently up 68c to $23.31 after being upgraded to a Buy rating from Hold at Jefferies. September call option implied volatility is at 17, October is at 21, November and December is at 20; compared to its 26-week average of 22.

GSV Capital (GSVC) is recently up $1.86 to $14 after Twitter announced it filed for an IPO. In its Q2 earnings release on August 7, GSV Capital reported that as of June 30, the company owned 1.84M common shares of Twitter. September call option implied volatility is at 71, October is at 71,December is at 64; above its 26-week average.

LinkedIn (LNKD) is recently down 16c to $249.50 a day after Twitter announced it filed for an IPO. September call option implied volatility is at 37, October is at 34, November is at 45, January is at 40; compared to its 26-week average of 40.

CBOE Interest Rate 5 Year Note (FVX) is recently down 0.2% to $17.03, above its 50-day moving average of 15.06 as CBOE 30-Year Treasury Bond (TYX) is recently down 0.2% to $38.37, above its 50-day moving average of 37.24 into next week’s Federal Reserve meeting.

CBOE S&P 500 BuyWrite Index (BXM) is recently up 66c to $968.30, above its 50-day moving average of 958.24. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up $2.85 to 1307.25, above its 50-day moving average of 1292.67. www.cboe.com/BXY

Active options at CBOE:  AAPL P FB NFLX TSLA C GOOG ABX OXY VZ NFLX POT

CBOE Volatility Index (VIX) is recently down 11c to 14.18. VIX September 15 calls and puts are active on total option volume of 180K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 1 5c to 14.55.

S&P 100 Options (OEX) is recently down 1.80 to $752.34 on disappointing retail sales and consumer confidence.