Blogging Options: CBOE Morning Update 10.8.13

Volatility as an asset class

J.C. Penney (JCP) is up $0.54 to $8.25 in the premarket after the retailer said year-end liquidity is now expected to be in excess of $2B, taking into account the net proceeds of approximately $785M in net cash proceeds from its recently closed public offering of 84M shares of common stock. October weekly call option implied volatility is at 97, October is at 79, November is at 82, January is at 88; above its 26-week average of 62.

Alcatel-Lucent (ALU) is up $0.09 to $3.95 after announcing it will cut 15,000 jobs in a restructuring effort. The cuts will come mostly in older technologies; however the company plans to add about 5,000 jobs in new growth areas. Overall option implied volatility of 68 is near its 26-week average of 69.

Talisman Energy (TLM) is up $0.85 to $13.60 after Carl Icahn disclosed a 5.97% stake in the Canadian gas company, and said he would seek talks and may discuss board representation, asset sales, and strategic alternatives in the company. Overall option implied volatility of 42 is above its 26-week average of 39.

Tower Group (TWGP) is down $2.10 to $5.31 after the property and causality insurance increased loss reserves by $365M for accident years 2009 through 2011 in commercial insurance lines. Overall option implied volatility of 118 is above its 26-week average of 28 according to Track Data, suggesting large price movement.

Options expected to be active @ CBOE; AAPL BAC JCP BBRY MU ALU NBG FB

CBOE S&P 500 BuyWrite Index (BXM) closed at $951.86, below its 50-day moving average of 959.55. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 237.77, below its 50-day moving average of 243.85. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) closed at 19.41, above its 10-day moving average of 16.01 and its 50-day moving average of 14.65. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down a few pennies $167.43 as a U.S. government partial shutdown continues.

Calls with increasing volume at CBOE:

SPY 1/18/2014 175 27K contracts
WLL 12/21/2013 62.50 10K

Puts with increasing volume at CBOE:

SPY 10/19/2013 167 32K contracts
VXX 11/16/2013 13 30K

Asian shares slightly higher, Europe lower.  Traders watching JPY and short-term T-Bill yield (October) rates to see how possible default being seen.