Blogging Options: CBOE Morning Update 6.20.13

Volatility as an asset class

Jabil Circuit (JBL) is down $0.82 to $19 in the premarket after the electronic contractor reported inline Q4 results and below consensus August guidance.  Overall option implied volatility of 42 is above its 26-week average of 32.

Micron (MU) is off $0.42 to $13.55 in the premarket after the chip maker reported inline Q3 results.  Overall option implied volatility of 63 is above its 26-week average of 47.

Red Hat (RHT) is up $1.73 to $47.95 in the premarket after the software company reported double-digit subscription revenue growth. Overall option implied volatility of 55 is above its 26-week average of 34.

CBOE Interest Rate 5 Year Note (FVX) closed at 12.27, above its 50-day moving average of 8.56.

VIX methodology for iShares Silver Trust (VXSLV) closed at 36.27; below its 50-day moving average of 36.40.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 37.86, below its 50-day moving average of 42.31.

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

CBOE S&P 500 BuyWrite Index (BXM) closed at $960.56, above its 10-day moving average of 960.80 and its 50-day moving average of 958.43. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.64, at its 10-day moving average of 16.64, and above its 50-day moving average of 14.52. VIX 52-week low is 11.05, high is 23.23.
www.cboe.com/VIX

CBOE VIX futures July at 17.55, August at 18.35, February is at 21.35

SPDR S&P 500 ETF Trust (SPY) is recently down 1.27 to $162.17 after the Fed said it is willing to slow its purchase of treasury and bonds.

Calls with increasing volume at CBOE:
SPY 6/22/2013 165 53K contracts
PFE 7/20/2013 35 23K
DIA 6/22/2013 149 17K
AVP 7/20/2013 22 15K
ZTS 7/20/2013 40 13K

SPDR S&P 500 ETF Trust (SPY) is down 1.27 to $162.17 after the Fed said it is willing to slow its purchase of treasury and bonds.

Weekly Jobless Claims rose to 354k but 342k was expected.

Commodities were getting crushed in the pre-market.  Gold was off $71 to $413.03.  Grains were off 1%,   Crude dropped 1.42 TO 96.82.  Asian stocks dropped ~2%, some on catch-up to US markets and partially on bad economic news out of China.  European stocks are also off ~2%.  the 10-year is 2.40%

TRIPLE Witch tomorrow.  Today is last day to trade June SPX options (AM Settlement).