Volatility as an asset class
Walgreen (WAG) is down $2.85 to $45.15 in the premarket after the retailer reported Q3 adjusted EPS of 85c, compared to consensus 91c. Overall option implied volatility of 39 is above its 26-week average of 23.
Carnival (CCL) is up $1.00 to $34.22 in the premarket on the cruise operator seeing Q3 adjusted EPS $1.25-$1.33, compared to consensus $1.38. Overall option implied volatility of 26 is near its 26-week average of 25.
Sonic (SONC) is lower by $0.44 to $13.85 in the premarket after specialty food retailer reported in-line earnings, revenue that fell short of estimates, and same-store sales that increased 0.1%. Overall option implied volatility of 35 is above its 26-week average of 32.
CBOE Interest Rate 5 Year Note (FVX) closed at 14.45, above its 50-day moving average of 8.96.
VIX methodology for iShares Silver Trust (VXSLV) closed at 43.05; above its 50-day moving average of 37.48.
CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 50.24, above its 50-day moving average of 43.10.
Options expected to be active on open at CBOE; BBRY ACN KBH NKE
CBOE S&P 500 BuyWrite Index (BXM) closed at $931.96, below its 10-day moving average of 953.15 and its 50-day moving average of 957.44. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 20.11, above its 10-day moving average of 17.87, and its 50-day moving average of 14.98. www.cboe.com/VIX
CBOE VIX futures July at 20.15, August at 20.30, February is at 22.30
Calls with increasing volume at CBOE:
PFE 7/20/2013 35 36K contracts
PBR 7/20/2013 15 20K
VXX 7/20/2013 27 17K
BAC 7/20/2013 13 17K
SPY 7/5/2013 162 15K
S 1/18/2014 10 15K