Blogging Options: CBOE Morning Update 6.19.13

Volatility as an asset class

Adobe (ADBE) is up $3.14 to $46.50 in the premarket after the company reported higher than expected Q2 EPS on better than expected online subscription service revenue. Overall option implied volatility of 35 is above its 26-week average of 25.

FedEx (FDX) is off $0.08 to  $99.40 in the premarket on inline Q4 revenue of $11.4B and sees FY14 EPS growth 7%-13%. Overall option implied volatility of 30 is above its 26-week average of 24.

Alcatel-Lucent (ALU) is up 10c to $1.97 in the premarket after announcing a refocusing of R&D spending on IP Networking and Ultra-Broadband Access with an increased emphasis on co-development with major customers and partners, while at the same time reducing spend on legacy technologies. Overall option implied volatility of 71 is at its 26-week average of 71.

CBOE Interest Rate 5 Year Note (FVX) closed at 10.52, below its 10-day moving average of 10.70.

VIX methodology for iShares Silver Trust (VXSLV) closed at 36.79; above its 50-day moving average of 36.14.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.35, above its 50-day moving average of 42.17.

Options expected to be active on open at CBOE; AAPL IWM SPY SPX XLF TBT

CBOE S&P 500 BuyWrite Index (BXM) closed at $970.74, above its 10-day moving average of 959.42 and its 50-day moving average of 958.18. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.61, near its 10-day moving average of 16.73, and above its 50-day moving average of 14.44. www.cboe.com/VIX

CBOE VIX futures June at 16.80, August at 18.35, February is at 21.30

Calls with increasing volume at CBOE:

MRK 10/19/2013 45 50K contracts

PFE 7/20/2013 35 42K

UUP 7/20/2013 22 18K

SPY 6/22/2013 168 17K

CHK 10/19/2013 24 13K

BBRY 7/20/2013 14 10K

PBR 7/20/2013 16 10K

ZTS 7/20/2013 40 10K

SPDR S&P 500 ETF Trust (SPY) is down 5c to $165.68 into the Fed clarifying its position on the potential tapering of its bond buying program.
May Housing Starts, while higher,  were below expectations.
VIX June Settlement released shortly after the opening.