Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Gannett (GCI) is recently up $5.30 to $25.14 after the media company announced the acquisition of Belo (BLC) for $1.5B. June call option implied volatility is at 54, July is at 49, October is at 41; above its 26-week average of 36.

iShares MSCI Emerging Mkt Idx (EEM) is recently up 32c to $39.42 as shares trade near ten-month lows. June call option implied volatility is at 26, July is at 23, August and September is at 20; above its 26-week average of 19.

SPDR Gold Trust (GLD) is recently down 95c to $133.31 as gold declines 1.15% to $1,376. June weekly call option implied volatility is at 25, June is at 21, July is at 20, August is at 18, September is at 17; compared to its 26-week average of 18.

CBOE Interest Rate 5 Year Note (FVX) is recently down 2.7% to 11.10; below its 50-day MA of 8.25.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $5.10 to 1280.80, above its 10-day moving average of 1286.68 and its 50-day moving average of 1290.75.

CBOE Volatility Index (VIX) is recently down 1.38 to 17.21. VIX June 17, 21, 23 calls and July 14 puts are active on total option volume of 341K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.12 to $729.82 as jobs data reveals underlying economic strength.