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