Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up $2.44 to $72.70 after Ben Bernanke update the FOMC outline for its bond buying program. July call option implied volatility of 30, September is at 29, is at 28; above its 26-week average of 27.

CBOE Interest Rate 5 Year Note (FVX) is recently up 6.8% to 13.10; above 50-day moving average of 8.67.

Pier 1 Imports (PIR) is recently down $1.05 to $22.92 on the retailer sees FY14 SSS growth in mid-single-digit range. July call option implied volatility is at 31, September and December is at 30; compared to its 26-week average of 33.

Kroger (KR) is recently up $1.90 to $33.22 on the grocery retailer’s giving long term growth rate guidance of 8%-11% and continues to expect identical supermarket sales growth. July and October call option implied volatility of 23 is at its 26-week average of 23.

CBOE Gold ETF Volatility Index (GVZ) is recently up 28.5% to $28.97‏.

CBOE Emerging Markets ETF Volatility Index (VXEEM) is recently up 17.4% to 31.12.

VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) is recently up 15.3% to 31.88‏.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down $17.10 to 1271.85, above its 10-day moving average of 1290.52 and its 50-day moving average of 1292.19. www.cboe.com/BXY
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CBOE Volatility Index (VIX) is recently up $1.47 to 18.11. VIX July 16, 20 and 26 calls are active on total option volume of 535K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $9.42 to $723.66 after the Federal Reserve plans to begin winding down its monetary stimulus plan.