Blogging Options: CBOE Morning Update 10.7.13

Volatility as an asset class

Facebook (FB) is down $0.35 to $50.69 in the premarket after Raymond James raised its price target raised to $56 from $39. October weekly call option implied volatility is at 56, October is at 50, November is at 65, December is at 53; compared to its 26-week average of 38.

IMAX (IMAX) is up 77c to $27.77 after the their 3D theaters accounted for $11.2M of the $55.6M opening weekend take hauled in by Warner Bros’ (TWX) “Gravity,” making it the biggest October opening for any film in the format, reported USA Today.  Overall option implied volatility of 37 is above its 26-week average of 34.

Cooper Tire (CTB) is down $3.91 to $25.60 on concerns Apollo Tyres will not resolve issues to finalize its takeover offer of $35.00 per share.  Overall option implied volatility of 51 is above its 26-week average of 35.

Options expected to be active @ CBOE; FB AAPL CTB BAC JCP BBRY MU DRYS

CBOE S&P 500 BuyWrite Index (BXM) closed at $959.22, near its 50-day moving average of 959.72.

CBOE DJIA BuyWrite Index (BXD) closed at 239.95, below its 50-day moving average of 244.04.

CBOE Volatility Index (VIX) closed at 16.74, above its 10-day moving average of 15.50 and its 50-day moving average of 14.51.

CBOE VIX futures October is at 16.80, January is at 18.10, March is at 19.10, Jun @ 19.95

Calls with increasing volume at CBOE:

SPY 10/4/2013 169 29K contracts
AON 1/18/2014 75 15K
BHI 10/19/2013 52 13K
EEM 10/19/2013 44 12K
APC 10/19/2013 100 10K

SPDR S&P 500 ETF Trust (SPY) is recently is down $1.00 to $167.85 as concerns grow about a 2014 recession induced by a U.S. government partial shutdown. Overseas markets headed lower.