Blogging Options: CBOE Mid-day Update 6.7.13

Volatility as an asset class

Wal-Mart (WMT) is recently up 95c to $76.59 after the retailer announced plans to repurchase $15B in shares.  June and July call option implied volatility is at 13, August and September is at 14; below its 26-week average of 16.

Gap (GPS) is recently up 89c to $41.87 after reporting May same-store sales increased 7%. June call option implied volatility is at 30, July is at 27, September is at 29; compared to it 26-week average of 33.

TiVo (TIVO) is recently down $2.42 to $11.30 after the technology company’s settlement with Google’s (GOOG) Motorola Mobility disappointed some analysts. June call option implied volatility is at 41, July is at 42, July is at 37, August is at 38, November is at 39; below its 26-week average of 48.

CBOE Interest Rate 5 Year Note (FVX) up 6.7% to 10.73; above 50-day MA of 7.95.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $1 to 1295.65, above its 10-day moving average of 1293.20 and its 50-day moving average of 1289.92.


CBOE Volatility Index (VIX) is recently down 67c to 15.39. VIX June 16, 18 and 20 calls are active on total option volume of 428K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 7.26 to $738.72 on a better than expected May employment report.

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