Volatility as an asset class
Blackberry (BBRY) is down $0.34 to $8.37 in the premarket after warning Friday of a write down of $1B in unsold phones. September weekly call option implied volatility is at 131, October is at 117, November is at 87, December is at 77; above its 26-week average of 63.
Netflix (NFLX) is up $5.47 to $319.30 after the streaming video service company with more the 37M subscribers won an Emmy Award for best director for political drama “House of Cards”. Overall option implied volatility of 47 is near its 26-week average of 48.
Catamaran (CTRX) is down $0.98 to $48.54 after the pharmacy benefits manager was downgraded to Equal Weight from Overweight at Morgan Stanley due to a maturing growth profile and balanced risk/reward. Overall option implied of 34 is below its 26-week average of 37.
J.C. Penney (JCP) is down $0.29 to $12.67 in the premarket on the retailer is in talks to raise additional funds, Bloomberg says. Overall option implied volatility of 53 is below its 26-week average of 59.
VIX methodology for Apple (VXAPL) closed at 29.56, above its 50-day moving average of 27.90 into reports have sales volume of iPhone 5S & 5C. www.cboe.com/VXAPL
October front month equity options expire, October 18, 2013
Active options into Fed statement@ CBOE; AAPL, BBRY NKE C BAC FB
CBOE Interest Rate 5 Year Note (FVX) closed at 14.74; below its 10-day moving average of 16.21 and its 50-day moving average of 15.08.
CBOE S&P 500 BuyWrite Index (BXM) closed at $964.46, above its 50-day moving average of 959.60. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 13.14, below its 10-day moving average of 14.12 and its 50-day moving average of 14.08. www.cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently down 36c to $170.36 ahead of Federal Reserve policy makers speaking.
Calls with increasing volume at CBOE:
FB 10/19/2013 55 17K contracts
IWM 9/21/2013 107 12K
AAPL 9/21/2013 475 12
MSFT 9/21/2013 33 11K
SPY 10/19/2013 175 10K
JPM 12/21/2013 57 9K
AAPL up $28 on good i-phone sales and earnings guidance higher. German election behind us, weather in Hong Kong disrupts Asisn trading slightly