Blogging Options: CBOE Morning Update 10.21.13

Volatility as an asset class

JPMorgan Chase’s (JPM) is up $0.07 to $54.37 in the premarket on a tentative agreement to pay a record $13B to end civil claims over its sales of mortgage bonds, a deal that won’t absolve the bank of potential criminal liability. Overall option implied volatility of 21 is near its 26-week average of 23.

McDonald’s (MCD) is down $1.50 to $93.80  after reporting Q3 EPS $1.52, compared to consensus $1.51. Q3 revenue was $7.32B, compared to consensus $7.34B. November call option implied volatility is at 15, December and January is at 14; compared to its 26-week average of 17.

Tellabs (TLAB) is up $0.14 to $2.49 after the telecom equipment provider announced Marlin Equity Partners will acquire all of the outstanding shares for $891M ($2.45 per share in cash). Overall option implied volatility of 46 is near its 26-week average of 45.

VF Corp. (VFC) is up $6.05 to $210.35 in the premarket after the global apparel company increased dividend by 21% to $1.05 and  reporting Q3 adjusted EPS $3.91, consensus $3.78. Overall option implied volatility of 23 is near its 26-week average of 22.

Options expected to be active @ CBOE; AAPL JPM NFLX GOOG UTX AKAM TXN UTX

November front month equity options expire, November 15, 2013

CBOE S&P 500 BuyWrite Index (BXM) closed at $983.44, above its 50-day moving average of 959.96. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 245.19, above its 50-day moving average of 242.76. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) closed at 13.04, below its 10-day moving average of 16.75 and its 50-day moving average of 15.30. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently is down $0.10 to $174.28 as global shares hovered at five-year highs as investors looked ahead to U.S. data for clues on when the Fed will begin scaling back its stimulus and corporate earnings.

Calls with increasing volume at CBOE:

SPY 10/19/2013 174 23K contracts
XLF 10/19/2013 21 21K
SLB 11/16/2013 92.50 17K
FB 10/19/2013 55 16K
EEM 12/21/2013 45.50 14K
QQQ 11/16/2013 82 14K

Puts with increasing volume at CBOE:

VXX 10/19/2013 13 25K contracts
SPY 11/16/2013 172 19K

Crude drops below $100, 10-year below 2.6%.