Blogging Options: CBOE Mid-day Update 6.11.13

Volatility as an asset class

Diamond Foods (DMND) is recently up $1.67 to $19.27 after the company reported stronger than expected results for its Q3 of 5c per share versus a consensus loss of 17c. June call option implied volatility is at 42, July is at 32, September is at 31; compared to its 26-week average of 41.

United Continental (UAL) is recently down 74c to $32.56 after reporting May consolidated traffic decreased 0.8% and consolidated capacity decreased 1.7% versus May 2012. June and July call option implied volatility is at 39, September is at 39 compared to its 26-week average of 37.

Texas Instruments (TXN) is recently down 98c to $35.62 after narrowing Q2 revenue view to $2.99B-$3.11B from $2.93B-$3.17B. June call option implied volatility is at 25, July and October is at 21; compared to its 26-week average of 23.

CBOE Interest Rate 5 Year Note (FVX) is recently up 0.3% to 11.28; above 50-day MA of 8.10.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down $4.80 to 1293.95, above its 10-day moving average of 1292.25 and its 50-day moving average of 1290.77. www.cboe.com/BXY

Actives:  AAPL C BAC TSLA AMZN GOOG BIDU C MNKD ARMH JNJ QCOR

CBOE Volatility Index (VIX) is recently up 88c to 16.30. VIX June 16, 17 and 20 calls are active on total option volume of 507K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 2.20 to $738.66, but well off their lows after the Bank of Japan held off from implementing any additional stimulus measures.