Blogging Options: CBOE Mid-day Update 11.4.13

Volatility as an asset class

J.C. Penney (JCP) is recently up 20c to $8.34 on JPMorgan believing that sales improved in the second half of October, and the firm thinks the company’s comparative sales may have been positive last month for the first time since 2Q11. November call weekly call option implied volatility is at 93, December is at 87; January is at 88; above its 26-week average of 69.

Johnson & Johnson (JNJ) is recently down 85c to $92.51 after The Department of Justice announced the pharmaceutical company will pay more than $2.2B to resolve criminal and civil liability arising from allegations relating to the prescription drugs Risperdal, Invega and Natrecor. Overall option implied volatility of 13 is near its 26-week average of 14.

BlackBerry (BBRY) is recently down $1.27 to $6.50 after ending its search for a buyer, raising $1B in new funds, and replacing its CEO. November weekly call option implied volatility at 121, November is at 96, December is at 77, January is at 72; compared to its 26-week average of 63.

NEW PM-SETTLED MINI-SPX OPTIONS (XSP) TO BE LAUNCHED NOVEMBER 5 www.cboe.com/XSP

Active options at @ CBOE: AAPL FB X CLF FDX BBRY ZNGA TSLA FSLR NFLX

CBOE S&P 500 BuyWrite Index (BXM) is recently up $1.56 to $991.15, above its 50-day moving average of 966.67. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently up 18c to 247.46, above its 50-day moving average of 243.41. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently down 15c to 13.13. VIX November 18 and 20 calls are active on total option volume of 88K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 16c to 12.67.

S&P 100 Options (OEX) is recently up 34c to $785.96 as European stocks trade near five-year highs.