Blogging Options: CBOE Morning Update 6.26.13

Volatility as an asset class

Monsanto (MON) is off $1.00 to $100.40 in the premarket after backing FY13 EPS $4.50-$4.55, compared to consensus $4.60. Overall option implied volatility of 29 is above its 26-week average of 24.

General Mills (GIS) is down $0.27 to $48.06 after reporting Q4 revenue of $4.41B, compared to consensus $4.32B. July call option implied volatility is at 28, August is at 25, October is at 24; compared to its 26-week average of 16.

Pandora (P) is up $0.67 to $17.08 in the premarket after the internet music provider was upgraded to Outperform from Neutral at Cowen. Overall option implied volatility of 56 is below its 26-week average of 66.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently up 42c to $108.30 in the premarket as treasury yields rise in early trading. Overall option implied volatility of 17 is above its 26-week average of 13.

CBOE Interest Rate 5 Year Note (FVX) closed at 14.70, above its 50-day moving average of 9.12.

VIX methodology for iShares Silver Trust (VXSLV) closed at 40.29; above its 50-day moving average of 37.19.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 48.01, above its 50-day moving average of 43.90.

Options expected to be active on open at CBOE; TBT BAC FB BBRY CAN SIRI

CBOE S&P 500 BuyWrite Index (BXM) closed at $938.07, below its 10-day moving average of 951.28 and its 50-day moving average of 957.34. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 18.47, above its 10-day moving average of 18.801, and its 50-day moving average of 15. www.cboe.com/VIX

CBOE VIX futures July at 19.45, August at 19.95, February is at 22.30

SPX options busy yesterday.
Calls with increasing volume at CBOE:

PFE 7/20/2013 35 29K contracts
F 8/17/2013 15 14K
AMRN 10/19/2013 6 12K
CHK 10/19/2013 24 12K
S 8/17/2013 711K
SPY 6/28/2013 159K 9K
C 8/17/2013 48 8K

SPDR S&P 500 ETF Trust (SPY) is up $0.80 to $159.38 as China’s banking system stabilizes.

1st Quarter GDP revised sharply lower, from a gain of 2.4% down to 1.8%.  Nikkei off over 1% but rest of Asian stocks firm.   10-year backing up to 2.55%