Blogging Options: CBOE Morning Update 6.12.13

Volatility as an asset class

Cooper Tire (CTB) received a bid from Apollo for $2.5B.

First Solar (FSLR) is down $1.45 to $50.86 after filing to sell 8.5M shares of common stock.  Overall option implied volatility of 64 is above its 26-week average of 55.

Yum! Brands (YUM) is up fractionally  to $72.26 in early trading after the parent company of Taco Bell, Pizza Hut and KFC said same store sales in China fell an estimated 19% in May. Overall option implied volatility of 26 is near its 26-week average of 25.

Ulta Salon (ULTA)  is up $13.00 to $97.13 after the beauty-products retailer reported better than expected Q1 revenue. Overall option implied volatility of 43 is above its 26-week average of 35.

CBOE Interest Rate 5 Year Note (FVX) at 11.12, above its 50-day moving average of 8.10.

VIX methodology for iShares Silver Trust (VXSLV) closed at 38.29; above its 50-day moving average of 35.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 49.07, above its 50-day moving average of 41.11.

Options expected to be active on open at CBOE; AAPL FSLR GT VOD VZ VXX VIX BAC C 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. www.cboe.com/BXM

CBOE Volatility Index (VIX) is unchanged at 17.07, below its 10-day moving average of 15.74, and above its 50-day moving average of 14.02. www.cboe.com/VIX

CBOE VIX futures June at 16.90, August at 18.15, February is at 20.85

SPDR S&P 500 ETF Trust (SPY) is up 0.50 to $163.59 as the yen falls and bonds rally.

Calls with increasing volume at CBOE:

PFE 7/20/2013 35 17K contracts

JNJ 1/18/2014 100 15K

SPY 6/14/2013 164 9K

ZTS 7/20/2013 40 7K