Blogging Options: CBOE Mid-day Update 10.28.13

Volatility as an asset class

J.C. Penney (JCP) is recently up 28c to $7.06 on reaffirming a forecast for same-store sales to rise soon, Reuters says. November weekly call option implied volatility is at 99, November is at 127, November is at 112, December is at 105, January is at 108; above its 26-week average of 67.

Petrobras (PBR) is recently up $1.31 to $17.23, as shares trade near a five-month high. November weekly call option implied volatility is at 46, November is at 36, January and April is at 31; compared to its 26-week average of 33.

Netflix (NFLX) is recently down $11.21 to $316.82 after breaking last week’s lows. November weekly call option implied volatility is at 57, December is at 45, January is at 44 and March is at 49; compared to its 26-week average of 49.

Active options at @ CBOE: AAPL PBR NQ NFLX AA TSLA FB PEP BMY MDLZ

CBOE S&P 500 BuyWrite Index (BXM) is recently up 66c to $988.52, above its 50-day moving average of 962.89. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently up 6c to 246.73, above its 50-day moving average of 242.84. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 46c to 13.56. VIX November 17 and 18 calls are active on total option volume of 38K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 10c to 12.94.

S&P 100 Options (OEX) is recently up $2.00 to $785.35 on strong corporate earnings reports and subdued inflation concerns a scheduled two-day FOMC meeting.