Blogging Options: CBOE Morning Update 6.11.13

Volatility as an asset class

Dole Food (DOLE) is up $2.10 to $12.30 after CEO David H. Murdock offer to acquire the approximately 60% of outstanding shares of common stock of DOLE not already owned by him for $12.00 per share. Overall option implied volatility of 35 is near its 26-week average of 34.

Catamaran (CTRX) is up $6.54 to $55.20 in early trading after the health benefits company announced a 10-year strategic agreement with Cigna (CI). June call option implied volatility is at 67, July is at 53, October is at 42, January is at 39; compared to its 26-week average of 37.

Corinthian Colleges (COCO) is down $0.33 to $2.46 after the education company disclosed the receipt of a subpoena from the SEC. Overall option implied volatility of 64 is above its 26-week average of 61.

CBOE Interest Rate 5 Year Note (FVX) at 11.25, above its 50-day moving average of 8.02
VIX methodology for iShares Silver Trust (VXSLV) closed at 36.49; above its 50-day moving average of 34.70.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 41.73, above its 50-day moving average of 40.70.

Options expected to be active on open at CBOE; AAPL FB BAH VXX VIX CECO COCO LULU BAC MSFT TSLA.

CBOE S&P 500 BuyWrite Index (BXM) closed at $964.70, below its 10-day moving average of 959.67 and its 50-day moving average of 956.16.

CBOE Volatility Index (VIX) is higher by 1.20 to 16.64, above its 10-day moving average of 15.74, and its 50-day moving average of 14.02.

CBOE VIX futures: June closed at at 15.60 and is now at 16.45, up 0.85 this morning.  Aug VIX futures up 0.29, Feb VIX futures up 0.30.

Calls with increasing volume at CBOE Monday included:

SPY 6/14/2013 165 19K contracts
S 8/17/2013 8 10K
LCC 12/21/2013 22 9K
AA 1/17/2015 17 9K
PBR 1/18/2014 19 9K

SPDR S&P 500 ETF Trust (SPY) is off 1.48 to $163.32 in early trading as the Bank of Japan holds of from taking fresh steps to stabilize bond markets.

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