Blogging Options: CBOE Mid-day Update 10.14.13

Volatility as an asset class

Whirlpool is recently down $7.66 to $132.88 after Cleveland Research issued a note in which it said a softer market in Brazil could limit any upside beyond consensus for the company’s Q3. October call option implied volatility is at 49, November is at 43, December and January is at 38; compared to its 26-week average of 32.

Expedia (EXPE) is recently down $3.73 to $48 after Deutsche Bank changed its recommendation to Hold from Buy and cut its price target to $51 from $66. The firm cited greater competition and higher customer acquisition costs as reasons for the changes.  October call option implied volatility is at 44, November is at 59, January is at 45; compared to its 26-week average of 37.

Fair Isaac (FICO) is recently down after cutting FY13 revenue to $741M-$743M from $755M-$765M, noting it’s continues to face delays in application sales to North American banks.  November put option implied volatility is at 36, January is at 28, April is at compared to its 26-week average of 24.

Active options at CBOE; FB AAPL TSLA NFLX C AMRN EXPE

Nasdaq-100 Index Options (NDX) is recently down 0.3% to 3224.85, above its 50-day moving average of 3158.90 www.cboe.com/NDX

CBOE S&P 500 BuyWrite Index (BXM) is recently down $3.86 to $963.66, near its 50-day moving average of 962.54. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently down $1.02 to $241.66, below its 50-day moving average of $243.02. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 1.85 to 17.57. VIX October 17 puts and 18 calls are active on total option volume of 233K contacts at the CBOE.

CBOE VIX futures October at 17.04, January at 18.25, March at 19.05, June at 19.70; VIX at 17.42

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 71c to 15.51

S&P 100 Options (OEX) is recently down $2.48 to $755.26 as investors become concerned about how lawmaker’s inability to reach an agreement to increase the government’s debt limit will affect corporate earnings.