Blogging Options: CBOE Morning Update 10.11.13

Volatility as an asset class

Micron (MU) is down 48c to $17.95 in the premarket after the chip maker results after a earnings miss. October call option implied volatility is at 101, November is at 75, January is at 65; compared to its 26-week average of 50.

Safeway (SWY) is up $2.43 to $34 after the supermarket operator unveiled plans to exit the Chicago market.  October call option implied volatility is at 51, November is at 38, December is at 32; compared to its 26-week average of 33.

Silicon Graphics (SGI) is indicated lower in the premarket after the large scale computing company reported preliminary Q1 EPS 2c-4c, compared to consensus 9c, due to the government shutdown. Overall option implied volatility of 52 is above its 26-week average of 47.

Gap (GPS) is indicated lower in the premarket after the retailer reported a same store sales decline of 3% compared to analyst expectations of 1.6% decline. Overall option implied volatility of 29 is near its 26-week average of 30.

Options expected to be active @ CBOE; AAPL JPM MU WFC GPS SGI SWY

CBOE S&P 500 BuyWrite Index (BXM) closed at $961.86, above its 50-day moving average of 958.95. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 240.90, below its 50-day moving average of 243.27. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) closed at 16.48, below its 10-day moving average of 17.44 and above its 50-day moving average of 14.97. www.cboe.com/VIX


CBOE Gainers and Loser – Equity Options

Calls Gainers 14925 Losers 4429 Unchanged 1440 Total 20794

Puts Gainers 1836 Losers 12696 Unchanged 977 Total 15509

Calls with increasing volume at CBOE:

SPY 10/11/2013 169 38K contracts
XLF 11/16/2013 20   18K
FB 10/19/2013  47   9K

Puts with increasing volume at CBOE:
VXX 11/16/2013 13  235K contracts
SPY 10/11/2013 165  55K

SPDR S&P 500 ETF Trust (SPY) is down $0.13 to $169.00 on hopes for a U.S. budget deal to avoid a debt default.  Eyes on Washington, again.