Blogging Options: CBOE Morning Update 10.23.13

Volatility as an asset class
Caterpillar (CAT), a DJIA component, is down $4.23  to $84.94 after missing Q3 numbers (EPS $1.45 vs. $1.69 expected, revenue missed and sales off by $1B) big time.

Corning (GLW) is up $3.25 to $18.60 in the premarket after the company announced a series of strategic and financial agreements with Samsung Display, the authorization for an additional $2B of share repurchases and Q3 results that were in-line with estimates. Overall option implied volatility of 32 is above its 26-week average of 27.

Cree (CREE) is down $12.26 to $62.  after the LED lighting and semiconductor products company reported lower than expected Q2 earnings. October weekly call option implied volatility was at 157, November is at 61, December is at 49, January is at 48, March is at 47, compared to its 26-week average of 44.

Apollo Group (APOL) is up $3.96 to $24.90 after the education company reported better an expected Q4 results. October weekly call option implied volatility is at 127, December is at 49, February is at 46; above its 26-week average of 45.

Panera Bread (PNRA) is down $7.30 to $155.14 in the premarket after Q3 profit increased 17%, though the amount of transactions recorded at the fast casual restaurant declined. November call option implied volatility is at 39, January is at 27; compared to its 26-week average of 27.

Options expected to be active @ CBOE; $CAT, $AAPL $CAT $NFLX $GOOG $GLW $FB $APOL $CREE

CBOE Short-Term Volatility Index (VXST) closed at 12.73. VXST looks out just 9 days and includes S&P 500 options that expire in one week in its calculation www.cboe.com/VXST.
SPX Weekly’s options volume increased 1204% from September 2010 to September 2013. www.cboe.com/SPXW

PM-settled Mini-SPX Index Options (XSP) will be launched on November 5.  www.cboe.com/XSP

CBOE S&P 500 BuyWrite Index (BXM) closed at $985, above its 50-day moving average of 960.74. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 245.31, above its 50-day moving average of 242.73. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) closed at 13.33, below its 10-day moving average of 16.12 and its 50-day moving average of 15.31. www.cboe.com/VIX

Calls with increasing volume at CBOE:

SPY 12/21/2013 179 20K contracts
EEM 11/16/2013 44.50 19K
AA 12/21/2013 10 11K
FB 11/16/2013 60 7K

SPDR S&P 500 ETF Trust (SPY) is recently is down $0.74 to $174.69 after a Bloomberg story highlighted the rise in China bad loans and default risk.

NIKKEI off ~2%, rest of Asian shares off 1% on Chinese economic news.  Europe off .5% to 1%, CAT drag on DJIA points to lower start.  10-year dips below 2.5%.  Oil & metals lower, Ag’s higher.

VIX looks to start higher, and VIX Futures begin expanded hours next week.

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