Blogging Options: CBOE Morning Update 6.25.13

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

SPDR S&P 500 ETF Trust (SPY) is up 1.16 to $158.22 after selloff, China’s central bank eased recent concerns about credit issues.
Durable Goods reported higher  but most of that attributed to Boeing orders.  X-Transpos up 0.7%, a solid number..  Asian stocks mixed, Europe slightly higher.