Blogging Options: CBOE Morning Update 11.13.13

Volatility as an asset class

Starbucks (SBUX) is down $1.23 to $79.38 in the premarket after Kraft (KRFT) won a judgment of over $2.7B in an arbitration case against the coffee company. Overall option implied volatility of 25 is below its 26-week average of 34.

Yum! Brands (YUM) is off $0.84 to $70.65 after reporting China same-store sales fell an estimated 5%. November call option implied volatility is at 43, December is at 22, January is at 21, April is at 20; compared to its 26-week average of 24.

SINA (SINA) is recently up $5.67 to $81.56 after the Chinese internet company reported Q3 profit more than doubled.  SINA November call option implied volatility is at 94, December is at 52, January is at 48; compared to its 26-week average of 47.

Potbelly (PBPB) is up $3.14 to $30.20 after the sandwich chain reported better than expected Q3 adjusted profit. November call option implied volatility is at 86, December is at 61, January is at 57, April is at 54; compared to its 3-week average of 56.

MBIA (MBI) is down 16c to $11.50 in the premarket after the bond insurer reported better than expected Q3 results. November call option implied volatility is at 50, December is at 54, January is at 52; above its 26-week average of 47.

Options expected to be active @ CBOE; WMT SBUX SHLD NQ FB M JCP KSS

CBOE S&P 500 BuyWrite Index (BXM) closed at $993.32, above its 50-day moving average of 971.92. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 248.14, above its 50-day moving average of 244.34. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1341.20, above its 10-day MA of 1338.14 www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $593.05 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 13.02. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 12.82, below its 10-day moving average of 13.17 and below its 50-day moving average of 14.71. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 12.18, below its 50-day moving average of 13.97 www.cboe.com/VXD

SPDR S&P 500 ETF Trust (SPY) is down 0.86 to $176.10 on mixed Fed stimulus signals.

Calls with increasing volume at CBOE:

SPY 12/21/2013 177 27K contracts
LCC 1/18/2014 22 18K
EEM 6/21/2014 41 18K
IWM 1/18/2014 110 15K
PBR 12/21/2013 17 10K
CSCO 11/16/2013 24 10K

Macy’s earnings popped higher, shares up $3.50.