Blogging Options: CBOE Morning Update 6.21.13

Volatility as an asset class

Oracle (ORCL) is down $2.51 to $30.70 in the premarket after the software company reported weak revenue growth. Overall option implied volatility of 37 is above its 26-week average of 24.

Tibco (TIBX) is higher by $0.17 to $21.18 in the premarket after the cloud platform provider reported Q2 earnings declined 67%. Overall option implied volatility of 60 is above its 26-week average of 44.

iShares MSCI Emerging Market Index (EEM) is up $0.54 to $37.42. Overall option implied volatility of 21 is above its 26-week average of 19.

June front month equity options expire today, June 21, 2013.

CBOE Interest Rate 5 Year Note (FVX) closed at 13.13, above its 50-day moving average of 8.67

VIX methodology for iShares Silver Trust (VXSLV) closed at 47.77; above its 50-day moving average of 36.87.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 44.43, below its 50-day moving average of 42.55.

Options expected to be active on open at CBOE; FXI EEM EWZ IWM SPY SPX XLF TBT

CBOE S&P 500 BuyWrite Index (BXM) closed at $936.97, below its 10-day moving average of 959.09 and its 50-day moving average of 958.14. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 20.49, above its 10-day moving average of 17.03, and its 50-day moving average of 14.68. www.cboe.com/VIX

CBOE VIX futures July at 19.65, August at 19.45, February is at 21.85

Volume was huge yesterday at CBOE.  Calls with increasing volume at CBOE:

SPY 6/22/2013  162 47K contracts
PFE 7/20/2013    35 45K
FIO 9/21/2013     24 26K

Puts with increasing volume at CBOE:

SPY 6/22/2013  155 105K
XLB 7/20/2013    34 52K
PFE 7/20/2013    35 45K

SPDR S&P 500 ETF Trust (SPY) is recently up 0.81 to $159.37 as global markets stabilize after Fed driven selloff. Asian stocks were mixed to lower, European stocks mixed to higher.   Early calm before Triple Witch…   SPX June Settlement after the opening.