Blogging Options: CBOE Morning Update 10.28.13

Volatility as an asset class

Biogen (BIIB) is up $7.24 to $259.50 in the premarket after the biotech company’s Q3 earnings rose 22%. November weekly call option implied volatility is at 51, November is at 35, December is at 34, January is at 33; compared to its 26-week average of 33.

Merck (MRK) is down $1.04 to $45.50 on less than expected Q3 revenue  and guidance  pointed to flat earnings. November weekly call option implied volatility is at 31, December is at 16, January is at 15; compared to its 26-week average of 18.

Changyou.com (CYOU) is down $6.21 to $29.50 as the Chinese game developer reporting Q3 revenue $183.1, compared to consensus $183.4M. Overall option implied volatility of 56 is near its 26-week average of 53.

Options expected to be active @ CBOE; ARMH FB AAPL NQ BIIB DNDN MRK PBR MRK MOS CNX

CBOE S&P 500 BuyWrite Index (BXM) closed at $987.76, above its 50-day moving average of 962.15. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 246.67, above its 50-day moving average of 242.75. http://www.cboe.com/micro/bxd/

CBOE Short-Term Volatility Index $VXST @ 11.59, below 10-day moving average of 14.60  www.cboe.com/VXST

CBOE Volatility Index (VIX) closed at 13.09, below its 10-day moving average of 14.21 and its 50-day moving average of 15.30. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is off slightly after early pre-market gains, waiting for quarterly earnings reports from Apple and Facebook.

Calls with increasing volume at CBOE:

EEM 12/21/2013 41 20K contracts
SPY 10/25/2013 176 19K
MSFT 1/18/2014 39 11K
AAPL 10/25/2013 530 11K
ESRX 11/16/2013 62.50 6K

Lot’s of economic news as government plays catch-up with economic data.  Lots of red as we look at European stocks this morning.  Roper Industries cuts it’s forcast, off $2 in early trade.