Blogging Options: CBOE Afternoon Update 6.18.13

Volatility as an asset class

Dell (DELL) is up $0.03 to $13.44 on volume of 17mm shares, after the company said in a letter to shareholders its  $13.65/share offer is ‘superior to any alternative’. July call option implied volatility is at 14, August is at 12, November is at 15; compared to its 19-week average of 15.

Hormel Foods (HRL) is down $1.85 to $38.80 after the company reduced its fiscal 2013 earnings per share guidance on lower than expected results from its pork operations. July and September call option implied volatility is at 21; compared to its 26-week average of 20.

Fifth Third Bancorp (FITB) is up $0.06 to $18.34 after the diversified services company headquartered in Cincinnati raised its quarterly dividend 9% to $0.12 per share. June call option implied volatility is at 22, July is at 20, August is at 19; compared to its 26-week average of23.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $9.05 to 1305.85, above its 10-day moving average of 1289.64 and its 50-day moving average of 1292.40.


CBOE Volatility Index (VIX) is off 0.04 to 16.76. VIX June 16 and 17 puts are active on total option volume of 328K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 4.78 to $742.36 as the FOMC began its two day meeting which concludes tomorrow afternoon.