Blogging Options: CBOE Mid-day Update 9.16.13

Volatility as an asset class

Sears Holdings (SHLD) is recently up $1.24 to $61.66 after announcing plans to obtain a senior secured term-loan facility of up to $1B. October call option implied volatility is at 58, December is at 51; compared to its 26-week average of 45.

Delta Air Lines (DAL) is recently up 88c to $23.36 after trading at an all-time high of $23.57. September call option implied volatility is at 34, October is at 36, December is at 47; compared to its 26-week average of 41.

Morgan Stanley (MS) is recently up 90c to a fresh two-year high of $29.40.  October call option implied volatility is at 25, January is at 26; compared to its 26-week average of 31.

CBOE Interest Rate 5 Year Note (FVX) is recently down 7% to $15.85, above its 50-day moving average of 15.06 as CBOE 30-Year Treasury Bond (TYX) is recently down 0.2% to $38.40, above its 50-day moving average of 37.28 into next week’s Federal Reserve meeting.

CBOE S&P 500 BuyWrite Index (BXM) is recently $1.02 to $969.72, above its 50-day moving average of 958.57. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up $7.35 to 1315, above its 50-day moving average of 1293.26. www.cboe.com/BXY

Active options at CBOE:  AAPL TSLA C NE BP KO FB NFLX ABX GOOG

CBOE Volatility Index (VIX) is recently down 27c to 13.89. VIX September 15 calls and 14 puts are active on total option volume of 206K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 136c to 14.12.

S&P 100 Options (OEX) is recently up 6.46 to $760.54 after Larry Summers withdrew from the race for Fed Chairman and a diplomatic solution to Syria into FOMC taper statement on Wednesday.

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