Blogging Options: CBOE Mid-day Update 9.19.13

Volatility as an asset class

Agilent Technologies (A) is recently up $2.19 to $51.52 after announcing plans to separate into two companies, one focused on life sciences, the other on diagnostic equipment. October and November call option implied volatility is at 24, January is at 23; compared to its 26-week average of 25.

Rite Aid (RAD) is recently up 63c to $4.34 on the drugstore chain raised its FY14 EPS view to 18c-27c, consensus 14c after remolding 1000 stores. October call option implied volatility is at 55, January and April is at 51; compared to its 26-week average of 53.

GT Advanced (GTAT) is recently up 52c to $8.07 on an upgrade to Buy from Neutral at UBS on seeing increased sapphire glass demand for the use in electronic devices. October call option implied volatility is at 84, December is at 75, March is at 71; compared to its 26-week average of 82.

CBOE Interest Rate 5 Year Note (FVX) is recently up 13c to $14.49, below its 50-day moving average of 15.06 as CBOE 30-Year Treasury Bond (TYX) is recently up 26c to $37.81, above its 50-day moving average of 37.36 a day after the Fed’s unchanged bond buying policy stance.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 33c to $77.83. September weekly call option implied volatility is at 23, October is at 25, December is at 23; compared to its 26-week average of 30.

CBOE S&P 500 BuyWrite Index (BXM) is recently up 8c to $970.68, above its 50-day moving average of 959.44. www.cboe.com/BXM

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up 70c to 1320.05, above its 50-day moving average of 1294.82. www.cboe.com/BXY

Active options at CBOE:  AAPL TSLA RAD C ABX HPQ P FB X

CBOE Volatility Index (VIX) is recently down 56c to 13.03. VIX October 17, 18, 20 and 25 calls are active on total option volume of 344K contacts at the CBOE into Friday’s quadruple witching.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 8c to 13.58.

S&P 100 Options (OEX) is recently down 42c to $769.58 after the Fed’s non-taper decision.