Blogging Options: CBOE Morning Update 9.27.13

Volatility as an asset class

Blackberry (BBRY) is up $0.09 to $8.04 in the premarket after reporting Q2 revenue fell 49% to $1.6B. October weekly call option implied volatility is at 79, October is at 57, November is at 53, December is at 47; compared to its 26-week average.

Nike (NKE) is up $4.61 to $74.95 after the athletic gear maker reported a Q1 profit increase of 38%. Overall option implied volatility of is 33 is above its 26-week average of 24.

Accenture (ACN) is down $2.82 to $73.05 after the global consulting and outsourcing firm’s Q4 results rose 16% on a lower effective tax rate. Overall option implied volatility of 30 is above its 26-week average of 22.

J.C. Penney (JCP) is off $0.80 to $9.62 in the premarket after an 84M share Spot Secondary was priced at $9.65. Overall option implied volatility of 79 is above its 26-week average of 59.

VIX methodology for Apple (VXAPL) closed at 29.68, above its 50-day moving average of 27.89.   www.cboe.com/VXAPL

Options expected to be active at CBOE; BBRY JCP FB NKE BP BAC YHOO VOD

CBOE S&P 500 BuyWrite Index (BXM) closed at $961.68, above its 50-day moving average of 959.84. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.06, above its 10-day moving average of 13.94 and its 50-day moving average of 14.09. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down $0.69 to $169.00 into U.S.  government budget bill debates.

Calls with increasing volume at CBOE:

YHOO 1/18/2014 40 101K contracts
SPY 11/16/2013 176 30K
DAL 12/21/2013 26 24K
FB 9/27/2013 50 14K
SPY 9/30/2013 170 11K
EBAY 11/16/2013 57.50 11K

August Income up 0.4%, Spending higher by 0.3%.  Asian stocks mixed, Europe lower. Gold & Silver up 1%, Energy complex lower.

Don’t forget Risk Management Conference Europe begins Sunday and continues through Wednesday.  We will be reporting live from the event.