Blogging Options: CBOE Morning Update 9.19.13

Volatility as an asset class

Oracle (ORCL) is down $0.35 in early trading to $33.61 after the software company reported a less than expected Q1 revenue increase of 2%.  September call option implied volatility is at 61, October is at 36, December is at 24; compared to its 26-week average of 24.

McDonald’s (MCD) is lower by $1.35 to $97.35 after announcing a 5% increase in its quarterly dividend to 81c per share. Overall option implied volatility of 12 is below its 26-week average of 14.

Pier 1 Imports (PIR) is off sharply, down $2.60 to $21 into the retailer reporting Q2 EPS of 17c, compared to consensus 21c. September call option implied volatility is at 107, October is at 39, December is at 33; compared to its 26-week average of 31.

Active options into Fed statement@ CBOE; AAPL BMRN ORCL X FCX ABX NEM

CBOE Interest Rate 5 Year Note (FVX) closed at 14.36; below its 10-day moving average of 16.86 and its 50-day moving average of 15.08 after Fed’s unchanged policy.

CBOE S&P 500 BuyWrite Index (BXM) is off $0.05 to $970.49, above its 50-day moving average of 959.15. www.cboe.com/BXM

CBOE Volatility Index (VIX) is down 0.25 to 13.34, below its 10-day moving average of 14.65 and above its 50-day moving average of 14.12. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 0.18 to $173.25 in the first half hour of trading a day after the Fed’s unchanged bond buying policy stance.

Calls with increasing volume at CBOE:

IWM 9/21/2013 107 131K Contracts
SPY 9/21/2013 173 109K
XLK 9/27/2013 33 17K

Puts with increasing volume at CBOE:

SPY 9/21/2013 167.50 97K contracts
IWM 10/19/2013 102 21K
EBIX 10/19/2013 6 15K

Initial Claims with bad data for second straight week, but Philly FED shows greater optimism.  Triple Witch tomorrow/tonight.

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