Volatility as an asset class
priceline.com (PCLN) is up $15.08 to $1036 in the premarket after the Internet travel site posted a solid quarter and conservative guidance. November weekly call option implied volatility is at 151, November is at 39, December is at 36, January is at 30, April is at 29; compared to its 26-week average of 28.
Groupon (GRPN) is up $0.25 to $9.75 after the daily deals company reporting a Q3 loss. November weekly call option implied volatility is at 247, November is at 129, December is at 77, January is at 69; above its 26-week average of 65.
Disney (DIS) is down $1.05 to $66.10 on a Q4 profit increasing 12%. November weekly call option implied volatility is at 45, November is at 21, December is at 20, January is at 18; compared to its 26-week average of 23.
Options expected to be active @ CBOE; NOK DIS WFM FB T MT QCOM ALU TSLA GRPN
CBOE S&P 500 BuyWrite Index (BXM) closed at $988.70, above its 50-day moving average of 969.21. www.cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) closed at 247.48, above its 50-day moving average of 243.86. http://www.cboe.com/micro/bxd/
CBOE S&P 500 PutWrite Index (PUT) closed at 1336, above 10-day MA of 1336.97 www.cboe.com/PUT
CBOE S&P 500 95-110 Collar Index (CLL) closed at $586.85 www.cboe.com/CLL
CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.19. VXST is a new market-based gauge of expectations of 9-day volatility. cboe.com/vxst
CBOE Volatility Index (VIX) closed at 13.91, below its 10-day moving average of 13.32 and below its 50-day moving average of 14.96. www.cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is flat to lower, down $0.27 to $174.66 U.S. economic data is being digested.
Calls with increasing volume at CBOE:
GE 1/18/2014 25 35K contracts
MSFT 1/18/2014 40 20K
VXX 3/22/2014 14 20K
NE 1/18/2014 45 20K
SPY 11/8/2013 176 19K
SLB 1/18/2014 95 13K
BHI 1/18/2014 60 13K
October Non-Farm Payroll comes in with a gain of 204k jobs (~120k gain expected), Jobless Rate rises to 7.3%, Participation Rate drops again. Previous two months with revisions higher. MCD with slightly weaker earnings. 10-year at 2.71%. With smooth TWTR opening yesterday, expect options to trade next Friday, 11.15.