Blogging Options: CBOE Morning Update 9.17.13

Volatility as an asset class

Huntsman (HUN) is up $1.50 to $20.64 in the premarket after acquiring Rockwood’s (ROC) titanium dioxide assets and other pigments units unit for $1.1B plus pension liabilities September call option implied volatility is at 56, October is at 46, November is at 43; compared to its 26-week average of 39.

Mosaic (MOS) is down $0.96 to $44.59 after lowering its Q3 price, volume guidance for potash and phosphates. Overall option implied volatility of 36 is above its 26-week average of 31.

Pandora (P) is off $0.69 to $22.80 in the premarket after the digital music provider filed to sell 14M shares of common stock, including 4M shares for current holders. Overall option implied volatility of 55 is near its 26-week average of 57.

Outerwall (OUTR) is down $10.77 to $45.20 after the Redbox operator cut its Q3 and fiscal-year 2013 earnings outlooks significantly below expectations. Overall option implied volatility of 37 is above its 26-week average of 33.

Werner (WERN) is down $1.18 to $23.23 in the premarket after the trucking company lowered its Q3 earnings outlook. Overall option implied volatility of 24 is near its 26-week average of 25.

Options expected to be active @ CBOE; MSFT NOK TOT P LYG FB AAPL VOD P HUN

CBOE S&P 500 BuyWrite Index (BXM) closed at $969.50, above its 50-day moving average of 958.56. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.38, below its 10-day moving average of 15.09 and above its 50-day moving average of 14.14. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.05 to $170.36 as Asian stocks came under pressure as investors focused on position reduction ahead of Wednesday’s FOMC policy decision.

Calls with increasing volume at CBOE:

SPY 9/21/2013 170 11K contracts
MSFT 9/21/2013 34 6K
AAPL 9/21/2013 460 5K
VXX 9/21/2013 15 5K

Puts with increasing volume at CBOE:

EEM 1/17/2015 30 26K contracts
SPY 9/30/2013 158 15K
MSFT 9/21/2013 32.50 11K

MSFT stock buy-back and dividend raise something to watch.  CPI in line but a few components not good.

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