Blogging Options: CBOE Morning Update 6.6.13

Volatility as an asset class

Ciena (CIEN) is up $1.85 to $18.13 in the premarket on the telecom equipment supplier sees Q3 revenue $515M-$545M, compared to consensus $509.46M. Overall option implied volatility of 51 is above its 26-week average of 45.

J.M. Smucker (SJM) closed at $102.37 into reporting Q4 earnings rose 25%. Overall option implied volatility of 23 is above its 26-week average of 18.

Costco (COST) closed at $109.17 into reporting May comparable store sales rose 5%. Overall option implied volatility of 20 near its 26-week average of 19.

VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) closed at 25.45, above its 50-day moving average of 22.96 into Chinese President Xi Jinping meeting with President Barack Obama.

VIX methodology for iShares Silver Trust (VXSLV) closed at 35.34; above its 50-day moving average of 33.71.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.05, above its 50-day moving average of 39.76.

Options expected to be active on open at CBOE; COST SODA CIEN BAC MSFT FB GOOG TSLA

CBOE S&P 500 BuyWrite Index (BXM) closed at $946.75, below its 10-day moving average of 960.09 and its 50-day moving average of 955.13. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 17.50, above its 10-day moving average of 15.20, and its 50-day moving average of 13.85. www.cboe.com/VIX

CBOE VIX futures June at 17.05, Aug at 18.25, Feb 20.90‏

SPDR S&P 500 ETF Trust (SPY) is recently up 82c to $162.07 into Friday’s May jobs report.

Calls with increasing volume at CBOE:

BAC 7/20/2013 15 22K contracts
SPY 6/22/2013 166 21K
DG 1/18/2014 62.50 11K

Puts with increasing volume at CBOE:

SPY 6/22/2013 160 54K contracts
GRPN 6/22/2013 7 30K
IWM 1/17/2015 76 20K