Blogging Options: CBOE Morning Update 11.15.13

Expiration today.

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.

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