Blogging Options: CBOE Morning Update 10.30.13

Volatility as an asset class

Yelp (YELP) is down $6.83 to $62.00 in the premarket after posting a larger than expected Q3 loss. November weekly call option implied volatility is at 209, December is at 75, January is at 67, February is at 70; compared to its 26-week average of 58.

Baidu (BIDU) is up $9.59 to $169.00 after the Internet company reported Q3 profit rose 1%. November weekly call option implied volatility is at 126, December is at 55, January is at 54, March is at 47; compared to its 26-week average of 46.

Boston Properties (BXP) is indicated slightly lower in the preopen after the office landlord reported a Q3 profit more than doubled on a increase in base rent revenue. November call option implied volatility is at 24, December is at 20, January is at 21, April is at 20; compared to its 26-week average of 22.

SodaStream (SODA) is down $4.25 to $59.75 after the beverage company reported Q3 revenue of $144.6M, compared to consensus estimates of $145.20M.  Overall option implied volatility of 81 is above its 26-week average of 44.

IAC (IACI) is indicated lower in the premarket after the Internet company reported Q3 profit more than doubled, however revenue was below analyst expectations. Overall option implied volatility of 30 is near its 26-week average of 31.

Options expected to be active @ CBOE; AAPL BP NOK HCA BIDU BBRY SODA

CBOE S&P 500 BuyWrite Index (BXM) closed at $989.86, above its 50-day moving average of 963.71. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 247.28, above its 50-day moving average of 242.96. http://www.cboe.com/micro/bxd/

CBOE Short-Term Volatility Index (VXST) closed at @ 12.57, below 10-day moving average of 12.80 www.cboe.com/VXST

CBOE Volatility Index (VIX) closed at 13.41, at its 10-day moving average of 13.41 and below its 50-day moving average of 15.24. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently is up $0.27 to $177.44 on mixed quarterly earnings reports and into FOMC policy statement.

Calls with increasing volume at CBOE:

SPY 1/18/2014 180 28K contracts
PEP 1/18/2014 85 20K
INTC 11/16/2013 25 20K
CSCO 1/18/2014 25 19K
SCHW 1/18/2014 20 19K
BAC 12/21/2013 14 15K
GE 1/18/2014 27 14K
PLCM 11/16/2013 12.50 13K

ADP Employment Report very soft could weigh on market this morning with 130k new jobs – previous month revised lower. CPI  also misses.