Blogging Options: CBOE Morning Update 10.9.13

Volatility as an asset class

Costco (COST) is down $1.96 to $110.25 in the premarket after reporting Q4 revenue of $31.77B, compared to consensus $32.82B. October call option implied volatility is at 19, November is at 18, January is at 17; compared to its 26-week average of 19.

Yum! Brands (YUM) is down $4.78 to $66.52 after reporting same-store sales declined 11% in China. October call option implied volatility is at 28, November is at 23, January is at 21, April is at 22; compared to its 26-week average of 24.

Alcoa (AA) is up $0.26 to $8.20 after reporting Q3 revenue of $5.8B, compared to consensus $5.63B. October weekly call option implied volatility is at 40, October is at 28, November is at 30, December is at 26, January and April is at 25; compared to its 26-week average of 26.

Financial Select Sector (XLF) is fractionally higher at $19.63, up $0.06, below its 10-day moving average of 19.95 and its 50-day moving average of 20.12. Overall volatility of 22 is above its 26-week average of 19 into President Barack Obama nominating Janet Yellen to head the Federal Reserve.

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

CBOE S&P 500 BuyWrite Index (BXM) closed at $941.31, below its 50-day moving average of 959.21. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 235.35, below its 50-day moving average of 243.62. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) closed at 20.34, above its 10-day moving average of 16.64 and its 50-day moving average of 14.79. www.cboe.com/VIX

Calls with increasing volume at CBOE:

SPY 11/16/2013   170 16K contracts
TLM 10/19/2013    13 15K
FB 10/19/2013       50 10K

Puts with increasing volume at CBOE:

SPY  10/19/2013 160  110K
IWM 10/19/2013 102  13K

SPDR S&P 500 ETF Trust (SPY) has given back some early gains and is up $0.52 to $166.00.   Janet Yellen nominated to head the Federal Reserve not a big surprise. Asian shares fractionally higher, Europe mixed.  Commodities down across the board.

Floor and trading desks still buzzing about record VIX option volume yesterday and 4th largest day for VX futures.