Blogging Options: CBOE Mid-day Update 9.24.13

Volatility as an asset class

Lennar (LEN) is recently up $1.93 to $36.47 after the homebuilder reported Q3 earnings rose 39%. October call option implied volatility is at 37, November and January is at 38; compared to its 26-week average of 37.

Carnival (CCL) is recently down $2.50 to $34.90 after the cruise ship company reported Q3 earnings fell 30%.  October call option implied volatility is at 24, November is at 22, January is at 21; compared to its 26-week average of 24.

Cypress Semiconductor (CY) is recently down $1.51 to $9.82 after the chip maker lower its Q3 guidance. October call option implied volatility is at 39, December is at 37, January is at 41; compared its 26-week average of 34.

CBOE S&P 500 BuyWrite Index (BXM) is recently up $1.98 to $963.64, above its 50-day moving average of 959.79. www.cboe.com/BXM

Active options at CBOE:  AAPL C TSLA FB RAD C LVS BBRY NFLX MCP

CBOE Volatility Index (VIX) is recently down 42c to 13.89. VIX October 18 calls and October 14 puts are active on total option volume of 165K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 24c to 13.77.

S&P 100 Options (OEX) is recently up $1.06 to $761.08 at midday as the OEX looks to snap its three day losing streak.