Volatility as an asset class
Nordstrom (JWN) is down 44c to $62.99 in the premarket after the retailer reported less than expected sales growth on the absence of a key sale event. November call option implied volatility is at 45, December is at 21, January is at 20; compared to its 26-week average of 23.
Agilent (A) is up $3.06 to $53.60 after the electronic measurement company reported better than expected results. Overall option implied volatility of 37 is above its 26-week average of 28.
Kimberly Clark (KMB) is higher by $3.54 to $113.25 after announcing plans to pursue a spin-off of its health care business. Overall option implied volatility of 15 is below its 26-week average of 17.
Vanda Pharmaceuticals (VNDA) has rallied and is now up $2.00 to $15.08, it was reported that an FDA panel voted in favor of the effectiveness of the company’s drug Hetlioz. Overall option implied volatility of 118 is near its 26-week average of 122.
Options expected to be active @ CBOE; XOM JOSB MW TSS AMAT VNDA KMB JWN
CBOE S&P 500 BuyWrite Index (BXM) closed at $993.45, above its 50-day moving average of 973.42. www.cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) closed at 248.31, above its 50-day moving average of 244.59. http://www.cboe.com/micro/bxd/
CBOE S&P 500 PutWrite Index (PUT) closed at 1342.01, above its 10-day MA of 1339.78 www.cboe.com/PUT
CBOE S&P 500 95-110 Collar Index (CLL) closed at $60.55 www.cboe.com/CLL
CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.69. VXST is a market-based gauge of expectations of 9-day volatility. cboe.com/vxst
CBOE Volatility Index (VIX) closed at 12.37, below its 10-day moving average of 12.92 and below its 50-day moving average of 14.58. www.cboe.com/VIX
CBOE DJIA Volatility Index (VXD) closed @ 11.96, below its 50-day moving average of 13.8 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 unchanged as the Dow and S&P set new all-time records following yesterday’s dovish comments on monetary policy by Janet Yellen, who has been nominated as the next Fed chair.
Calls with increasing volume at CBOE:
SPY 11/16/2013 179 55K
XLF 12/21/2013 21 31K
EEM 11/16/2013 41.50 11K
QQQ 11/16/2013 84 7K
Twitter (TWTR) options start today. Empire Manufacturing Index fell to lowest level in 9 months, weak opening.