Blogging Options: CBOE Morning Update 6.13.13

Volatility as an asset class

PVH (PVH) is up $8.34 to $119.62 in the premarket after the apparel company reported Q1 earnings beat company projections. Overall option implied volatility of 38 is above its 26-week average of 31.

H&R Block (HRB) is up slightly in the premarket on the tax preparer reporting Q4 profits rose 13%. June call option implied volatility is at 65, July is at 45, October is at 37; above its 26-week average of 30.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 49c to $69.73. Overall option implied volatility of 31 is above its 26-week average of 27.

CBOE Interest Rate 5 Year Note (FVX) is recently at 11.45, above its 50-day moving average of 8.25

VIX methodology for iShares Silver Trust (VXSLV) closed at 36.82; above its 50-day moving average of 35.26.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.42, above its 50-day moving average of 41.40.

Options expected to be active on open at CBOE; AAPL FSLR BLC GCI SIRI TSLA.

CBOE S&P 500 BuyWrite Index (BXM) closed at $950.04, below its 10-day moving average of 957.56 and its 50-day moving average of 956.49. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 18.59, above its 10-day moving average of 16.37, and its 50-day moving average of 14.21. www.cboe.com/VIX

CBOE VIX futures June at 18.25, August at 18.80, February is at 21.25.

SPDR S&P 500 ETF Trust (SPY) is recently down 41c to $161.31 as investors take profits as equity index prices are near record highs as bonds trend lower.

Calls with increasing volume at CBOE:

SPY 6/22/2013 165 38K contracts
XLF 7/20/2013 20 12K
BAC 11/16/2013 14 10K

Puts with increasing volume at CBOE:

SPY 6/14/2013 163 41K contracts
XOP 9/21/2013 52 25K
GM 6/22/2013 33 15K

Initial Jobless Claims and May Retail Sales beat estimates slightly but May Sales X-Auto were in line and April revised lower.
Nikkei off 6.35% overnight, DAX and FTSE leading Europe lower.