Blogging Options: CBOE Mid-day Update 5.24.13

Volatility as an asset class

Foot Locker (FL) is down $2.12 to $33.56 after the shoe retailer said its comparative sales were unchanged so far this month.  June call option implied volatility is at 26, July and August is at 24, November is at 25; compared to its 26-week average of 28.

Abercrombie & Fitch (ANF) is recently down $5.59 to $48.80 after the teen retailer Q1 results missed expectations.  June call option implied volatility is at 35, July is at 33, August Is at 36, November is at 37; compared to its 26-week average of 40.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently up 30c to $116.94 as treasury’s trade at the low end of their one-year range. June call option implied volatility is at 13, July, August and September is at 12; compared to its 26-week average of 13 according to Track Data.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down 4.80 to 1295.10, below its 10-day moving average of 1303.13 and above its 50-day moving average of 1285.41.


CBOE Volatility Index (VIX) is recently up 58c to 14.63. VIX June 14 puts, June 25 calls are active on total option volume of 279K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 1.98 to $739.96 on uncertainty of Federal Reserve stimulus.

Bonds are closed for the day, as are the treasury markets and metals.

Mid-day option volume not bad going in to a long-weekend. ~10.37 million, 2.552 million at the CBOE. 303k SPX, 208k SPX Weeklys and 286k VIX options.

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