Blogging Options: CBOE Morning Update 6.24.13

Volatility as an asset class

iShares FTSE Xinhua China 25 Index is down 99c to $31.75 in the premarket as Chinese shares suffer its biggest daily loss in about four years. Overall option implied volatility of 19 is near its 26-week average of 20 according to Track Data, suggesting non-directional price movement.

Vanguard Health (VHS) is up $8.17 to $20.54 in the premarket on Tenet Healthcare (THC) acquiring the company for $21 per shares, in a deal valued at $4.3B including the assumption of $2.5B in Vanguard debt.  Overall option implied volatility of 47 is above its 26-week average of 44.

sTec (STEC) closed at $3.59 into the solid state-storage solution provider being acquired by Western Digital (WDC) for $6.85 per shares.  Overall option implied volatility of 80 is above its 26-wek average of 57.

CBOE Interest Rate 5 Year Note (FVX) closed at 14.06, above its 50-day moving average of 8.81.

VIX methodology for iShares Silver Trust (VXSLV) closed at 43.04; above its 50-day moving average of 37.25.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 45.79, above its 50-day moving average of 42.82.

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 $937.80, below its 10-day moving average of 956.43 and its 50-day moving average of 957.84. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 18.90, above its 10-day moving average of 17.40, and its 50-day moving average of 14.82. www.cboe.com/VIX

CBOE VIX futures July at 19, August at 19.40, February is at 21.75

Calls with increasing volume at CBOE:

PFE 7/20/2013 35 122K contracts

SPY 6/22/2013 159 38K

VXX 6/28/2013 40 27K

WM 7/20/2013 35 22K

Puts with increasing volume at CBOE:

PFE 7/20/2013 35 122K contracts

SPY 6/22/2013 158 65K

SPDR S&P 500 ETF Trust (SPY) is down 1.59 to $157.48 as Chinese shares suffer large losses.  Shanghai Index off 5.3% overnight. Several Wall Street firms lower their outlook on China. A few bong offerings cancelled in China.  Most European stocks lower by ~1.25%.  European stocks have retreated more than 10% from their highs, some technicians calling this a bear market.  Moody’s revised their outlook on Hong Kong to negative – political?  10-year over 2.61%.  Ugly first day after triple-witch.