Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Onyx Pharmaceutical (ONXX) is up $19.30 to $63.99 after a FDA panel gave strong support to its blood-cancer treatment. July call option implied volatility is at 38, July is at 45; below its 26-week average of 53.

Bed Bath and Beyond (BBBY) is down $12.19 to $61.46 on lower than expected Q2 results and weak margins. July and November put option implied volatility of 32 is near its 26-week average of 30.
United States Natural Gas Fund (UNG) overall option implied volatility of 55 is above its 26-week average of 46, suggesting larger price movement as gas rally’s 2.5% compared to WTI crude futures selling off 2.43% to $79.40.

GLD is currently at $152.20, off $3.77 (2.4%).

CBOE Volatility Index (VIX) is recently up 2.26 to 19.50, up from its intra-day low of 16.77 and near its high of the day.

Stocks are lower (DJIA -210, SPX off 25) on disappointing housing and jobless reports. The Philly Fed report had been expected to show unchanged (Price on Monday’s blog called for a drop of 0.2%). Instead it came in at -16.6%, with all components except one lower. Adding to the bearishness, one chartist is concerned about a break of long term support and a major firm had reportedly called for SPX to test 1280 – 1285, which is 45 – 50 SPX points lower than we’re at.