Blogging Options: CBOE Mid-day Update 9.18.13

Volatility as an asset class

FedEx (FDX) is recently up $3.04 to $113.72 on Q1 earnings increasing 6.5% on an increase in ground-shipping revenue.  September call option implied volatility is at 26, October and January is at 21; compared to its 26-week average of 24.

Cracker Barrel (CBRL) is recently down $4.55 to $102.45 after restaurant operator reported Q4 earnings fell 1.1%. September call option implied volatility is at 30, October is at 25, December is at 24; compared to its 26-week average of 25.

General Mills (GIS) is recently down 48c to $49.30 after Q1 earnings fell 16%. September call option implied volatility is at 21, October is at 16, January is at 14; compared to its 26-week average of 17.

CBOE Interest Rate 5 Year Note (FVX) is recently up 35c to $16.45, above its 50-day moving average of 15.12 as CBOE 30-Year Treasury Bond (TYX) is recently down 3c to $38.37, above its 50-day moving average of 37.36 into the Federal Reserve taper policy statement this afternoon.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 8c to $79.55. September call option implied volatility is at 41, October is at 27, December is at 27; compared to its 26-week average of 30.

CBOE S&P 500 BuyWrite Index (BXM) is recently down 38c to $969.56, above its 50-day moving average of 959.13. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently down $2.25 to 1313.25, above its 50-day moving average of 1295.15. www.cboe.com/BXY

Active options at CBOE:  AAPL FDX FB CLF SWY ZNGA C X SD

CBOE Volatility Index (VIX) is recently up 1c to 14.54. VIX October 15, 18, 22 and 23 calls are active on total option volume of 373K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 24c to 14.42.

S&P 100 Options (OEX) is recently down $1.28 to $759.56 ahead of the Fed’s decision on the tapering of bond purchases.

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