Blogging Options: CBOE Morning Update 6.17.13

Volatility as an asset class

Netflix (NFLX) is up $9.01 to $223 in the premarket after the Internet TV network announcing a multi-year deal with DreamWorks Animation (DWA) announced a multi-year deal new original content. Overall option implied volatility of 51 is below its 26-week average of 55.

Time Warner’s (TWX) is off fractionally after closing Friday at $57.47 into “Man of Steel” earning $113.1M in this year’s second best debut weekend. Overall option implied volatility of 23 is near its 26-week average of 22.

Smithfield Foods (SFD) is higher by $0.44c to $33.23 in the premarket on company investor
Starboard Value wants company breakup after the company accepted Shuanghui’s $34 share price. Overall option implied volatility of 11 is below its 26-week average of 32.

CBOE Interest Rate 5 Year Note (FVX) closed at 10.21, below its 10-day moving average of 10.68

VIX methodology for iShares Silver Trust (VXSLV) closed at 34.85; below its 50-day moving average of 35.66.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 41.92, above its 50-day moving average of 41.80.

Options expected to be active on open at CBOE; AAPL BAC SFD AMD ZTS FB

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.60, above its 10-day moving average of 957.62 and its 50-day moving average of 957.23. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 17.15, above its 10-day moving average of 17.14, and its 50-day moving average of 14.32. www.cboe.com/VIX

CBOE VIX futures June at 17.55, August at 18.90, February is at 21.50

SPDR S&P 500 ETF Trust (SPY) is recently up 98c to $164.15 as the yen helped the Nikkei rally into the Fed’s meeting on Tuesday and Wednesday.

Calls with increasing volume at CBOE Friday:

PFE 7/20/2013 35 52K contracts
SPY 6/14/2013 164 21K
DD 7/20/2013 57.50 20K

Puts with increasing volume at CBOE:
IWM 6/22/2013 96 71K contracts
PFE 7/20/2013 35 51K
XLF 7/20/2013 19 36K
SPY 6/14/2013 163 20K

NY Fed’s Empire State Index beat estimates with a rise of 7.8% this morning, but most major components were lower.  Triple Witch Week.