Blogging Options: CBOE Mid-day Update 6.19.2013

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 2c to $69 into Ben Bernanke’s press conference, giving some clarification regarding the central bank’s plan and time frame for revisions to its bond buying program. Overall option implied volatility of 33 is above its 26-week average of 27.

CBOE Interest Rate 5 Year Note (FVX) +2.2% to 10.75; above 50-day moving average of 8.53.

CBOE 30-Year Treasury Bond (TYX) up 0.1% to 33.46, above 50-day moving average of 31.02.

Sprint (S) is recently down 18c to $7.14 after DISH Network (DISH) said it would not submit a revised takeover offer for the telecom company before yesterday’s deadline imposed by Sprint. Overall option implied volatility of 37 is above its 26-week average of 26.

Men’s Wearhouse (MW) is recently down 97c to $36.50 after the company removed its founder, executive chairman and commercial spokesperson George Zimmer, without offering a reason for the dismissal. Zimmer later said in a statement that the board had ‘inappropriately silenced concerns’ he was expressing about the company.  June put option implied volatility is at 55, July is at 38, August is at 35, November is at 39, above its 26-week average of 31.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down $2.35 to 1304.50, above its 10-day moving average of 1293.18 and its 50-day moving average of 1292.93. www.cboe.com/BXY

Actives:  AAPL C TSLA GOOG PFE MU NFLX ABX DISH

CBOE Volatility Index (VIX) is recently down 33c to 16.28. VIX July 15, 17 and 18 puts are active on total option volume of 563K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 88c to $742.24 into Ben Bernanke’s press conference.