Blogging Options: CBOE Morning Update 11.21.13

Volatility as an asset class

Green Mountain Coffee (GMCR) is up $3.91 to $65.74 after the coffee company reported Q4 profit increased 38%. November weekly call option implied volatility is at 217, December is at 78, January is at 59, March is at 59; compared to its 26-week average of 56.

Sears Holdings (SHLD) is off $2.60 after the retailer said Q3 sales would again be lower this year. Overall option implied volatility of 54 is above its 26-week average of 46.

L Brands (LTD) is indicated higher after the clothing retailer reported Q3 profit rose 25%. December call option implied volatility is at 25, January and February is at 24; compared to its 26-week average of 27.

Williams-Sonoma (WSM) is up $3.25 to $58.76 in the premarket after Q3 profit rose 16%. December call option implied volatility is at 34, January is at 27 February is at 25; compared to its 26-week average of 27.

TGT and DG are both off over $1 as sales disappointed.

Options expected to be active @ CBOE; ANF SHLD MSFT WSM HPQ TIF

CBOE S&P 500 BuyWrite Index (BXM) closed at $992.63, above its 50-day moving average of 975.86. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) closed at 249.06, above its 50-day moving average of 245. http://www.cboe.com/micro/bxd/

CBOE S&P 500 PutWrite Index (PUT) closed at 1339.05, below its 10-day MA of 1340.81 www.cboe.com/PUT

CBOE S&P 500 95-110 Collar Index (CLL) closed at $597.67 www.cboe.com/CLL

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.03. VXST is a market-based gauge of expectations of 9-day volatility.   cboe.com/vxst

CBOE Volatility Index (VIX) closed at 13.40, above its 10-day moving average of 12.91 and near its 50-day moving average of 14.42. www.cboe.com/VIX

$VIX @ 13.40, above 10-day MA of 12.91, near 50-day MA of 14.42. www.cboe.com/VIX

CBOE DJIA Volatility Index (VXD) closed @ 12.35, 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 up 29c to $178.76 after Japanese stocks rose 1.9%.

Calls with increasing volume at CBOE:

SPY 12/21/2013 182 35K contracts
PBR 11/22/2013 18 11K
YOKU 1/18/2014 27 7K
VXX 11/22/2013 46 6K

Oct PPI -0.2%, Core Rate +0.2%.  Initial Jobless Claims 323k, good number.