Blogging Options: CBOE Morning Update 9.25.13

Volatility as an asset class

AutoZone (AZO) is higher by $2.69 to $417 in the premarket after the auto parts retailer reported Q4 EPS $10.42, consensus $10.34. Overall option implied volatility of 26 is above its 26-week average of 21.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is up $0.25 to $75.06  as bonds have rallied to seven-week highs. September weekly call option implied volatility is at 28, October is at 25, November and December is at 27; compared to its 26-week average of 30.

CBOE Interest Rate 5 Year Note (FVX) closed at 14.18; below its 10-day moving average of 15.63 and its 50-day moving average of 15.09.

MAKO Surgical (MAKO) was halted into Stryker (SYK) acquiring all of the outstanding shares of the robotic assisted surgery company for $30.00 per share in cash.  Overall option implied volatility of 49 is below its 26-week average of 55.

VIX methodology for Apple (VXAPL) closed at 29.48, above its 50-day moving average of 27.88.   www.cboe.com/VXAPL

Options expected to be active @ CBOE; BBRY CCL  FB$NKE YHOO SYK MAKO ISRG

CBOE S&P 500 BuyWrite Index (BXM) closed at $960.18, above its 50-day moving average of 959.72. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.08, above its 10-day moving average of 13.94 and its 50-day moving average of 14.09. www.cboe.com/VIX

Calls with increasing volume at CBOE:

AA 1/18/2014 10 30K contracts
WFC 10/19/2013 45 28K
FB 9/27/2013 50 17K
RIO 10/19/2013 50 8K
INTC 10/19/2013 25 7K
SPY 9/27/2013 170.50 7K
MRK 10/19/2013 50 7K

SPDR S&P 500 ETF Trust (SPY) is recently up $0.10 to $169.63 as U.S. budget issues raise concerns of a government shutdown.

Headline Durable Goods showed a gain of 0.1%, but July was revised lower, from -7.4% to a drop of 8.1%.  X_Transports were -0.1%. European stocks lower, Japan down .75%.