Blogging Options: CBOE Mid-day Update

Volatility as an asset class

eBay (EBAY) July call option implied volatility of 45 is above its 26-week average of 32, suggesting larger movement into this afternoon’s Federal Reserve’s meeting on proposed final rules around debit interchange fees, routing and exclusivity restrictions.

Microsoft (MSFT) has recently rallied to a seven-week high as option implied volatility has decreased to the low end of its four year range. July and October put option implied volatility of 21 is below its 26-week average of 24 according to Track Data.

SPDR Gold Trust-GLD is recently up 0.5% as gold trades flat at $1509. Overall option implied volatility of 18 is near its 26-week average, suggesting non-directional price movement. 

CBOE Volatility Index-VIX is recently down 7.7% to 17.69; below its 50-day moving average of 17.63. July 25 and August 25 calls are active on option implied volatility of 126.


DJIA up 70 points, SPX higher by 9 points. VIX at 17.51, off 1.66 for the day.


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