Blogging Options: CBOE Morning Update 9.26.13

Volatility as an asset class

Bed Bath and Beyond (BBBY) is up $4.38 to $78.60 in the premarket after the home furnishing retailer reported Q2 revenue $2.82B, compared to consensus $2.81B.  Q2 SSS rose approximately 3.7%. Overall option implied volatility of 29, November and January is at 24; compared to its 26-week average of 25.

Hertz Global (HTZ) is down $2.58 to $23.20 after lowering its full-year guidance, citing weaker-than-expected car rental volume generated at its airport car rental unit. Overall option implied volatility of 34 is near its 26-week average of 35.

Caesar’s (CZR) is off $1.07 to $19.85 in the premarket after the casino entertainment company files to sell 10M shares of common stock.  Overall option implied volatility of 49 is below its 26-week average of 64.

Jabil Circuits (JBL) moved $0.70 lower after the contract electronics manufacturer reported Q4 earnings rose 53%, but guided Q1 results below expectations. October call option implied volatility is at 39, December is at 30, January is at 31, compared to its 26-week average of 31.

VIX methodology for Apple (VXAPL) closed at 30.16, above its 50-day moving average of 27.88.   www.cboe.com/VXAPL

Options expected to be active @ CBOE; BBRY JCP FB NKE JCP ABX BBBY

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.58, above its 50-day moving average of 959.75. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.01, above its 10-day moving average of 13.96 and its 50-day moving average of 14.08. www.cboe.com/VIX

Calls with increasing volume at CBOE:

C 11/16/2013 57.5000 10K contracts
SPY 9/27/2013 171 9K
EEM 9/27/2013 42 9K
M 11/16/2013 46 8K
FB 9/27/2013 50 7K
JCP 11/16/2013 15 6K
AMAT 10/19/2013 18 6K
AAPL 9/27/2013 485 6K
AMTD 1/18/2014 26.50 6K

SPDR S&P 500 ETF Trust (SPY) is up $0.36 to $169.40 as investors digest U.S. Q2 GDP and jobs. Weekly Jobless fell to 305k, but Continuing Claims rose sharply.  This data has been skewed for the last 3 weeks as several states had computer problems.  Final Q2 GDP ticks below 2.5%.