Blogging Options: CBOE Mid-Day Update 9.17.13

Volatility as an asset class

Safeway (SWY) is up $2.41 to $30.45 on the adoption of a one-year stockholder rights plan. September call option implied volatility is at 37, October is at 38, December is at 30; compared to its 26-week average of 31.

Microsoft (MSFT) is up $0.24 to $33.04, possibly suggesting a large near term price movement, after the board approved a new $40B share repurchase program and increased its quarterly dividend by 22% to $0.28. The company will host a financial analyst meeting on Thursday, September 19.  September call option implied volatility is at 34, October is at 22, November is at 23; above its 26-week average of 21.

Take-Two’s shares (TTWO) are down $0.52 to $16.80 on the introduction of Grand Theft Auto. October call option implied volatility is 50, December is 46; compared to its 26-week average of 42.

CBOE Interest Rate 5 Year Note (FVX) is off 2.1% to $16.01, above its 50-day moving average of 15.08 as CBOE 30-Year Treasury Bond (TYX) is down 0.7% to $38.45, above its 50-day moving average of 37.32 into the Federal Reserve taper policy statement on Wednesday.

CBOE S&P 500 BuyWrite Index (BXM) is recently up 32c to $969.82, above its 50-day moving average of 958.86. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up $1.95 to 1314.80, above its 50-day moving average of 1293.73. www.cboe.com/BXY

Active options at CBOE:  AAPL LVS TSLA RPRX X FSLR CVX ABX NFLX

CBOE Volatility Index (VIX) is  up 0.12 to 14.50.  VIX September 15 and 16 calls are active on total option volume of 388K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 11c to 14.22.

Markets slightly higher on light volume, VIX higher.  In the options space, CBOEshowed volume of ~2.56m contracts of the 8.45m options contracts traded.  SPX with volume of 320k, VIX 475k, SPY 675k and AAPL showing ~280k.