Blogging Options: CBOE Morning Update 6.5.13

Volatility as an asset class

United Health (UNH) is recently up 99c to $63.35 in the premarket after the health insurer renewed its share repurchase program and raised its dividend 32% to 28c per share. June call option implied volatility is at 32, July is at 28, August is at 25; compared to its 26-week average of 27.

General Motors (GM) is recently down 49c to $34.47 in the premarket after the U.S. Treasury Department said it will sell 30M shares it holds. Overall option implied volatility of 30 is near its 26-week average of 31.

Walgreen (WAG) is recently up 27c to $48.30 in the premarket after reporting May sales rose 4.3% to $6.22B. Overall option implied volatility of 27 is above its 26-week average of 22.

VIX methodology for iShares Silver Trust (VXSLV) closed at 35.16; above its 50-day moving average of 33.44.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.77, above its 50-day moving average of 39.46.

Options expected to be active on open at CBOE; GM BAC VALE MSFT FB ZNGA GOOG TSLA

CBOE S&P 500 BuyWrite Index (BXM) closed at $957.14, below its 10-day moving average of 962.11 and above its 50-day moving average of 954.96. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.27, above its 10-day moving average of 14.79, and its 50-day moving average of 13.70. www.cboe.com/VIX

CBOE VIX futures May at 16.10, Aug at 17.80, Feb 20.60‏

SPDR S&P 500 ETF Trust (SPY) is recently down 57c to $162.99 futures a day after the market broke its streak of advancing on consecutive Tuesdays.

Calls with increasing volume at CBOE:

SPY 6/7/2013 165 12K contracts
S 8/17/2013 8 10K
BBBY 6/22/2013 70 9K
WMB 11/16/2013 38 9K
GM 1/18/2014 30 7K
PFE 7/20/2013 35 6K
XRT 6/22/2013 81 6K

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