Blogging Options: CBOE Morning Update 9.30.13

Volatility as an asset class

Panera Bread (PNRA) is trading down $3.62 to $160.41 in the premarket after Morgan Stanley downgraded the casual eatery to Equal Weight from Overweight. Overall option implied volatility of 27 is near its 26-week average of 26.

Chipotle (CMG) is up $2.50 to $421.50  after the fast casual eatery was upgraded to Overweight from Equal Weight at Morgan Stanley. Overall option implied volatility of 29 is near its 26-week average of 28.

Achillion (ACHN) is down $3.70 to $3.54 after disappointing ACH-3102 data. Overall option implied volatility of 87 is above its 26-week average of 74.

VIX methodology for Apple (VXAPL) closed at 30.62, above its 50-day moving average of 27.93.   www.cboe.com/VXAPL

Options expected to be active at CBOE; BAC NOK JCP ACHN FB AAPL BBRY

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.42, above its 50-day moving average of 959.86. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 15.46, above its 10-day moving average of 14.07 and its 50-day moving average of 14.12. www.cboe.com/VIX

Calls with increasing volume at CBOE:

EEM 1/18/2014 47 60K contracts
SPY 10/19/2013 173 42K
FB 9/27/2013 51 11K
AAPL 9/27/2013 485 10K
IP 1/18/2014 60 9K

SPDR S&P 500 ETF Trust (SPY) is down 1.33 to $167.57 into end of the quarter,  U.S.  Government budget bill debates and the release of September employment report on FrIday.

European stocks off ~1% on Italian Government coalition possibly disbanding.  Eyes on Washington – and Portugal for CBOE’s Risk Management Conference Europe through Wednesday.  Watch for updates.

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