Blogging Options: CBOE Morning Update 9.24.13

Volatility as an asset class

Carmax (KMX) is up $1.63 to $51.64 in the premarket after auto dealer reported Q2 used unit sales in comparable stores increased 16%, total used unit sales rose 21% and total wholesale unit sales increased 10%. October call option implied volatility is at 32, January and April is at 27; compared to its 26-week average of 28.

Applied Materials (AMAT) is up $0.66 to $16.65 after announcing a definitive agreement with Tokyo Electron to create a global innovator in semiconductor and display manufacturing technology via an all-stock combination which values the new combined company at approximately $29B. Overall option implied volatility of 25 is near its 26-week average of 26.

Red Hat (RHT) is recently down $4.93 to $48.00 after the software company reported slightly better Q3 results.  October call option implied volatility is at 40, December is at 34; compared to its 26-week average of 33.

VIX methodology for Apple (VXAPL) closed at 29.95, above its 50-day moving average of 27.91.   www.cboe.com/VXAPL

Active options into Fed statement@ CBOE; BBRY FB GOOG AMAT LEN RHT

CBOE Interest Rate 5 Year Note (FVX) closed at 14.62; below its 10-day moving average of 15.97 and its 50-day moving average of 15.09.

CBOE S&P 500 BuyWrite Index (BXM) closed at $961.66, above its 50-day moving average of 959.66. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.31, above its 10-day moving average of 13.98 and its 50-day moving average of 14.09. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is flat in pre-market trading, with uncertainty of global economy, taper and stalemate in Washington.

Calls with increasing volume at CBOE:

SPY 11/16/2013 175 14K contracts
BAC 11/16/2013 15 10K
AAPL 9/27/2013 500 9K
AAXJ 12/21/2013 64 6K

Puts with increasing volume at CBOE:

SPY 10/19/2013 170 13K contracts
FOXA 10/19/2013 32 10K
IWM 10/25/2013 100 10K
RGEN 10/19/2013 10 8K

Home Prices rose 0.6%.  10-year 2.685%.  AAPL price target raised by GS.