Blogging Options: CBOE Mid-day Update 4.11.14

Volatility as an asset class

Apple (AAPL) is recently down $2.20 to $521, near its six-low onto the expected release of Q2 results on April 23.  4/25/14 weekly call option implied volatility is at 34, May is at 25, June is at 23, October at 21; compared to its 26-week average of 26.

VIX methodology for Apple (VXAPL) +4.5% to 27.78, 50-day MA 22.04.

Nasdaq 100 Index (NDX) is recently down 75c to 3487.25 after NASDAQ after trading into positive territory after opening lower. Overall option implied volatility is at 16; compared to its 26-week average of 17.

Fastenal (FAST) is recently down $1.93 to $48.80 after the industrial and construction supplier reported Q1 results that matched consensus and revenue that surpassed analysts’ expectations. May call option implied volatility is at 26, August is at 24; compared to its 26-week average of 28.

Actives @ CBOE:  AAPL GILD TLSA A NFLX FB AMZN BAC TWTR

High option volume stocks: SXC FSL IMPV TWGP NI IPG CYTR FIO NBR

CBOE S&P 500 Short-Term Volatility Index (VXST) up 4.2% to 17.19, compared to its 10-day moving average of 14.08. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.5% to 255.24, compared to its 50-day moving average of 255.62. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 69c to 16.58. VIX April 15, 16, 17, 18 and 19 calls are active at CBOE on 387K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 73c to 44.17

CBOE DJIA Volatility Index (VXD) up 4.4% to 15.29; compared to its 50-day moving average of 14.43.

CBOE Nasdaq-100 Volatility Index (VXN) up 5.8% to 21.79; compared to its 50-day moving average of 17.10

S&P 100 Options (OEX) recently down $2.46 to $809.34 as U.S. producer prices recorded their largest increase in nine-months.