Blogging Options: CBOE Mid-Day Update 6.25.13

Volatility as an asset class

Lennar (LEN) is up $0.24 to $35.23.  The home building company made upbeat comments about its business and reported significantly stronger than expected second quarter results. July call option implied volatility is at 45, August is at 43, November is at 42; compared to its 26-week average of 35.

Barnes & Noble (BKS) is down $3.42 to $15.40 after the bookseller reported a loss for its Q4 of $2.11 per share versus consensus for a $0.99 loss. July call option implied volatility is at 56, August is at 55, October is at 52, January is at 49; compared to its 26-week average of 49.

Netflix (NFLX) is off $4.64 to $210.96 after Bernstein downgraded the company to Underperform based on rich valuation, high expectations, growing competition, and diminishing returns on investment. June weekly call option implied volatility is at 60, July is at 49, August is at 65, September is at 58, December is at 56; compared to its 26-week average of 55.

CBOE Interest Rate 5 Year Note (FVX) is recently up 0.9% to 14.58; above 50-day moving average of 9.11.

CBOE 30-Year Treasury Bond (TYX) is recently up 0.6% to 35.80; above 50-day moving average of 31.51.

CBOE Gold ETF Volatility Index (GVZ) is recently down 4% to $26.59‏.

CBOE Emerging Markets ETF Volatility Index (VXEEM) is recently down 10.7% to 33.92.

‏VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) is recently down 2% to 34.51‏.

Actives:  AAPL C PFE GOOG AMRN BAC SIRI GOOG AMZN FSLR BAC LYB

CBOE Volatility Index (VIX) is recently down 1.65 to 18.52. VIX July 16 and 17 calls are active on total option volume of 155K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $5.16 to $713.92 as Durable Goods orders rise and house prices increase.

2-year auction rates in-line, but bid-to-cover was awful.

Black Hawks parade Friday in Chicago.