Blogging Options: CBOE Mid-day Update 11.7.13

Volatility as an asset class

J.C. Penney (JCP) is recently up 40c to $8.11 after the retailer reported October same-store sales rose 0.9%. November call weekly calls expiring on 11/8/13 option implied volatility is at 95, November 11/15/13 is at 80, November is at 109, December is at 97, January is at 88, February is at 80; compared to its 26-week average of 69.

SolarCity (SCTY) is recently down $6.42 to $53.23 after the solar panel company predicted a larger than expected loss for the current quarter.  November weekly 11/8/13 volatility is at 104, November 11/15/13 is at 71, November is at 66, December is at 64, January is at 60; compared to its 26-week average of 60.

Wendy’s (WEN) is recently down $1.10 to $7.99 after the fast-food company reported revenue grew more slowly than expected.  November call option implied volatility is at 48, December is at 41, February is at 36; compared to its 26-week average of 37.

Active options at @ CBOE: WFM C SINA CVX TSLA SIRI FB GE AAPL DOW

CBOE S&P 500 BuyWrite Index (BXM) is recently down 52c to $991.94, above its 50-day moving average of 969.28. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently down 10c to 247.94, above its 50-day moving average of 243.87. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 43c to 13.10. VIX November 15, 16, 19 and 26 calls are active on 391K contracts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 4c to 12.30.

S&P 100 Options (OEX) is recently down $2.50 to $787.74 as Twitter (TWTR) rose $20.24 to $46.15

Twitter (TWTR) options expected listing Nov 15.