Blogging Options: CBOE Mid-day Update 10.11.13

Volatility as an asset class

JPMorgan Chase (JPM) is recently up 6c to $52.59 on a Q3 loss on a large legal expense. October and December call option implied volatility is at 22, January is at 21; compared to its 26-week average of 23.

Wells Fargo (WFC) is recently down $1.10 to $40.33 after the San Francisco based lender reported better than expected Q3 loan growth. October call option implied volatility is at 19, December and April is at 20; compared to its 26-week average of 21.

Infosys (INFY) is recently up $3.89 to $54.15 after the India based consulting service provider reported better than expected Q2 revenue acceleration. November call option implied volatility is at 22, January is at 30.

SolarCity (SCTY) is recently up $7.67 to $46.02 after the solar-panel maker said Q3 system deployments best its own expectations. The company raised its share offering to 3.4M shares versus 2.8M. The company also indicated that executives of the company, including Elon Musk, in aggregate intend to purchase up to 560,000 shares of common stock. October call option implied volatility is at 78, November is at 74, January is at 62; compared to its 26-week average of 61 according to Track Data, suggesting large price movement after the company said Q3 system deployments best its own expectations.

Active options at CBOE; FB AAPL TSLA NFLX C GILD VLO GOOG

Nasdaq-100 Index Options (NDX) is recently up 0.3% to 3219.85, above its 50-day moving average of 3220 www.cboe.com/NDX

CBOE S&P 500 BuyWrite Index (BXM) is recently up 54c to $962.44, above its 50-day moving average of 962.54. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently up 27c to 241.17, below its 50-day moving average of 243.13. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently down 83c to 15.65. VIX October 16, 17 and 20 calls are active on total option volume of 132K contacts at the CBOE.

CBOE VIX futures October at 15.75, January at 17.78, March at 18.90, June at 19.70; VIX at 15.99

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 20c to 14.56

S&P 100 Options (OEX) is recently down 56c to $752.48 as lawmakers continue talks to raise the government’s debt limit.