Blogging Options: CBOE Mid-day Update 12.6.13

Volatility as an asset class

American Eagle (AEO) is recently down $1.36 to $15.03 after the teen-retailer reported in line results for its Q3 with Q4 EPS guidance below consensus of 39 cents. December call option implied volatility is at 27, January and February is at 34; compared to its 26-week average of 34.

Five Below (FIVE) is recently down $1.73 to $46.02 after the discount retailer reported double digit revenue growth, however guidance was less than expected.  December call option implied volatility is at 37, January and February is at 36; compared to its 26-week average of 43.
J.C. Penney (JCP) is recently down 53c to $8.32 after disclosing in a filing with the SEC that the company received a subpoena from the agency in September. December weekly (12/13/14)  call option implied volatility is at 78, December is at 67, January is at 77, February is at 73; above its 26-week average of 70.

Options with increasing volume @ CBOE:  HD INTC GE ULTA ORCL MY LCC AIG GGB BIG

VIX methodology for Apple (VXAPL) is recently down 11c to 28.09, above its 10-day moving average of 25.06 and its 50-day moving average of 27.85  www.cboe.com/VXAPL

CBOE DJIA BuyWrite Index (BXD) is recently up 1.75 to 250.71 above its 50-day moving average of 246.09: www.cboe.com/micro/bxd/

CBOE Short-Term Volatility Index $VXST -15.6% to 13.02, near its 10-day MA of 13.07 www.cboe.com/VXST

CBOE Volatility Index (VIX) is recently down 1.21 to 13.87. VIX December 14, 15 & 16 calls are active on 148K contracts at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 1.54 to 45.18.

S&P 100 Options (OEX) is recently up $7.32 to $804.48 on the 203K U.S. November payroll increase beating estimates, as did a 0.5% rise in hours-worked.