Blogging Options: CBOE Morning Update 11.20.13

Volatility as an asset class

Lowe’s (LOW) is down $1.53 to $48.91 in the premarket on less than expected earnings on higher expenses. November weekly call option implied volatility is at 54, December is at 25, January is at 23 and April is at 22; compared to its 26-week average of 22.

J.C. Penney (JCP) is up $0.73 to $9.44 as Q3 sales and margins improved. November weekly call option implied volatility is at 160, December is at 92, January is at 89; above its 26-week average of 70.

Deere (DE) is higher by $3.46 to $86.30 on Q4 earnings rising 17% helped by prices and lower taxes, offsetting weak farm equipment sales. November weekly call option implied volatility is at 58, December is at 22, January at 18, March is at 19; compared to its 26-week average of 22.

Yahoo! (YHOO) is up $1.02 to $35.65 in the premarket after announcing a $5B increase in its share repurchase program and issuing $1B in convertible in convertible bonds due 2018. Overall option implied volatility of 37 is above its 26-week average of 33.

Options expected to be active @ CBOE; TSLA YHOO FB DE SCTY HPQ ZNGA DIS AMAT JCP JPM

CBOE S&P 500 BuyWrite Index (BXM) closed at $994.24, above its 50-day moving average of 975.40. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.54, above its 50-day moving average of 244.94. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1340.65, above its 10-day MA of 1340.90 and its 50-day moving average of 1318.72. www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $599.80 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.87. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.39, above its 10-day moving average of 12.84 and below its 50-day moving average of 14.43. www.cboe.com/VIX

CBOE $VIX futures November is @ 13.60, January is @ 16.39, May is @ 19.13 July is @ 19.73 http://cfe.cboe.com/

CBOE DJIA Volatility Index (VXD) closed @ 12.17, below its 50-day moving average of 13.74 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 down 11c to $178.92 into the expected release of the Consumer Price Index and data on business Inventories.

Calls with increasing volume at CBOE:

FXI 12/21/2013 44 45K contracts
VHC 1/17/2015 28 11K
PBR 12/21/2013 18 10K
BAC 12/21/2013 15 10K
SPY 12/21/2013 182 9K
QQQ 11/22/2013 83.50 8K
LCC 3/22/2014 30 8K

Puts with increasing volume at CBOE:

SPY 12/21/2013 155 30K contracts
IWM 11/22/2013 110 13K
QQQ 11/22/2013 83 11K
VHC 1/18/2014 30 11K

Retail Sales headline number good, up 0.4%, X-Autos up 0.2%.  Housing number shortly, FED minutes later today worty watching.