Blogging Options: CBOE Mid-day Update 6.5.13

Volatility as an asset class

Hovnanian (HOV) is recently up 12c to $6.09 after the home builder reported Q2 profit fell 27%.  June call option implied volatility is at 48, July is at 53, August is at 56; compared to its 26-week average of 48.

JoS. A. Bank (JOSB) is recently down $1.24 to $43.46 after the retailer reported Q1 EPS of 29c, compared to consensus 29c. June call option implied volatility is at 37, July is at 34, October is at 35; compared to its 26-week average of 37.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down $15.15 to 1273.60, below its 10-day moving average of 1295.82 and its 50-day moving average of 1289.37.


Active index family’s at CBOE: SPX RUT NDX SPXP DJX XEO XSP

CBOE Volatility Index (VIX) is recently up 1.24 to 17.51. VIX June 20 and 22 calls are active on total option volume of 469K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 8.64 to 727.56 on uncertainty of Federal Reserve stimulus measures.

Russell 2000 (IWM) is recently down $1.33 to $96.40. Overall implied volatility at 21; 26-week average is 18.

Financial Select Sector (XLF) is recently down 30c to $19.38. Overall volatility at 19, 26-week average is 18.