Blogging Options: CBOE Morning Update 9.20.13

Volatility as an asset class

Darden Restaurants (DRI) is down $2.20 to $47.10 in the premarket after the restaurant operator reported Q1 earnings fell 37%. September call option implied volatility is at 65, October is at 26, January and April is at 21; compared to its 26-week average of 22.

AK Steel (AKS) is down $0.46 to $3.98  after the steel maker projected shipment and prices below year-earlier levels and incurred costs tied to blast furnace outage. Overall option implied volatility of 58 is near its 26-week average of 60.

Cintas (CTAS) closed at $50.89 into the supplier of uniforms and restroom supplies posting higher than expected Q1 revenues. Overall option implied volatility of 27 is above its 26-week average of 19.

Tibco Software (TIBX) is up $2.00 to $27.24 after the cloud platform provider reported better than expected Q3 revenue growth. Overall option implied volatility of 50 is above its 26-week average of 42.

VIX methodology for Apple (VXAPL) closed at 28.13, above its 50-day moving average of 27.91 on the debut of iPhone 5S & 5C.   www.cboe.com/VXAPL

September front month equity options expire, today, September 20, 2013

Active options into Fed statement@ CBOE; AAPL JCP ALU NOK BAC MSFT RNA

CBOE Interest Rate 5 Year Note (FVX) closed at 14.79; below its 10-day moving average of 16.51 and its 50-day moving average of 15.07.

CBOE S&P 500 BuyWrite Index (BXM) closed at $970.73, above its 50-day moving average of 959.44. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.16, below its 10-day moving average of 14.39 and its 50-day moving average of 14.10. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 91c to $171.85 as international markets are little changed.

Calls with increasing volume at CBOE:

SPY 9/21/2013 172 25K contracts
EWZ 10/19/2013 48 20K
EFA 10/19/2013 64 18K
DIA 10/19/2013 157 14K
IWM 9/21/2013 107 12K

Puts with increasing volume at CBOE:

SPY 9/30/2013 167 37K
VXX 11/16/2013 11 29K
UUP 12/21/2013 22 20K

Did you get in line this morning for the new i-phone? Me neither.  International markets still digesting Indian rate rise.  German elections Sunday won’t conflict with Sunday night Bears game.

Triple Witch.

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