Blogging Options: CBOE Morning Update 10.25.13

Volatility as an asset class

Amazon.com (AMZN) is up $29.00 to $361 on better than expected revenue.  October call option implied volatility is at 159, November is at 42, December is at 33, April is at 29; compared to its 26-week average of 28.

Microsoft (MSFT) is up $2.00 to $35.72 on a Q1 profit increase of 17%.  October weekly call option implied volatility is at 93, November is at 22, December is at 21; compared to its 26-week average of 23.

Zynga (ZNGA) is up $0.45 to $3.98  after the social gamer reported Q3 loss narrowed.  October weekly call option implied volatility is at 178, November is at 77, December is at 66, January is at 65, March is at 64; compared to its 26-week average of 60.

Deckers Outdoor (DECK) is h after the footwear maker reporigher by $8.85ted a better than expected Q3 profit decrease of 23%. October weekly 60 call option implied volatility is at 206, November weekly is at 100, December is at 48, January is at 45; compared to its 26-week average of 44.

DuPont (DD) is up $1.60 to $62.98 after announcing the intention to spin off its performance chemical segment to existing shareholders. Overall option implied volatility of 15 is below its 26-week average of 19.

Active Options @ CBOEinclude ; SPY, VIX, ZNGA YHOO QLIK CECO YHOO AMZN MSFT

CBOE S&P 500 BuyWrite Index (BXM) closed at $986, above its 50-day moving average of 961.47. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 246.25, above its 50-day moving average of 242.67. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is up 0.10 to 13.30, below its 10-day moving average of 14.47 and its 50-day moving average of 15.33. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is is up 25c to $175.49 on quarterly earnings reports that were above expectations.

Calls with increasing volume at CBOE:

F 1/18/2014 19 20K contracts
SPY 10/25/2013 175 18K
GLD 1/17/2015 160 13K
RDSA 11/16/2013 67.50 11K
F 12/21/2013 19 10K
VXX 11/29/2013 17 10K
PBR 11/16/2013 18 9K
BAC 11/1/2013 14 9K