Blogging Options: CBOE Morning Update 11.14.13

Volatility as an asset class

Wal-Mart (WMT) is down $1.25 to $77.65 in the premarket on Q3 earnings rising 2.8%. November call option implied volatility is at 37, December is at 12, January is at 11, March is at 12; compared to its 26-week average of 15.

Kohl’s (KSS) is down $4.91 to $53.35 on Q3 earning declining 18% after the department-store chain reported weaker same-store sales and margins. November call option implied volatility is at 59, December is at 29, January is at 25; compared to its 26-week average of 26.

Cisco (CSCO) is off $2.95 to $21.05 on Q1, Q2 and fiscal-year profit outlooks, came in below expectations. November call option implied volatility is at 67, December is at 23, January is at 21, February is at 23; compared to its 26-week average of 25.

NetEase.com (NTES) is down $6.48 to $63 in the premarket after the Internet-gaming company reported less than expected Q3 results. November call option implied volatility is at 94, December is at 42, January is at 39, March is at 38; compared to its 26-week average of 39.

Options expected to be active @ CBOE; WMT CSCO AH NTES NTAP SHLD JWN KSS

CBOE S&P 500 BuyWrite Index (BXM) closed at $994.42, above its 50-day moving average of 972.69. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 248.34, above its 50-day moving average of 244.46. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1341.74, above its 10-day MA of 1339.16 www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $597.70 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.75. 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 @ 12.52, below its 50-day moving average of 14.65 www.cboe.com/VXD

VIX futures trade 7:00 a.m. to 2:00 a.m. for Business Days Monday through Friday

SPDR S&P 500 ETF Trust (SPY) is recently is recently up $0.22 to $178.60 ahead of Janet Yellen’s prepared testimony at confirmation hearing.

Calls with increasing volume at CBOE:

SPY 11/16/2013 179 28K contracts
GLD 12/21/2013 138 17K
EWT 12/21/2013 14 10K
NRF 12/21/2013 10 9K
EWJ 1/15/2016 12 9K
CSCO 11/16/2013 24 8K
BAC 11/22/2013 14.50 7K

Initial Claims came in at 339k, higher than the 330 expected, and last week revised higher by 5k.  Boeing union in WA rejected a long-term deal, the 1300+ acres BA bought in Charleston SC might get some use, BA up $0.55 in early trade.