Blogging Options: CBOE Mid-Day Report 6.27.13

Volatility as an asset class

DirecTV (DTV) is down $0.74 to $60.34 after the satellite television provider said its Sky Brasil unit overstated subscriber accounts. July call option implied volatility is at 24, August is at 27, September is at 25; compared to its 26-week average of 25.

KB Home (KBH) is up $0.51 to $20.42 after the homebuilder reported better than expected Q2 results and higher order growth guidance. July call option implied volatility is at 47, August is at 46, October is at 48; compared to its 26-week average of 47.

Progress Software (PRGS) is higher by $1.35 to $23.40 after the business software provider reported growing revenue from software licenses and gains from divestitures.  July call option implied volatility is at 28, August is at 29, December is at 30; near its 26-week average of 31.

CBOE Interest Rate 5 Year Note (FVX) is down 0.9% to 14.14; above 50-day moving average of 9.40.

CBOE 30-Year Treasury Bond (TYX) is down 0.8% to 35.46; above 50-day moving average of 31.79.

CBOE Gold ETF Volatility Index (GVZ) is recently down 3.6% to $30.30 as gold trades down 0.26%‏ to $1226.

VIX methodology for iShares Silver Trust (VXSLV) is down 4.6% to 43.60; above its 50-day moving average of 37.32.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) is up 4.2% to 50.08, above its 50-day moving average of 43.31.

CBOE Emerging Markets ETF Volatility Index (VXEEM) is down 2.5% to 48.98.

‏VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) is down 2.2% to 30.99‏.

Option Actives:

CBOE & C2 have traded 3.2mm of the 10.44 million option contracts as of mid-day.  ~492k SPX options have traded, and 222k SPY (SPY weeklys at the CBOE have traded another 173k).  PFE has traded 121k options so far.

CBOE Volatility Index (VIX) is down 0.51 to 16.70. VIX July 22 and 27 calls are active on total option volume of 325K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $4.02 to $724.96 as consumer spending rose in May.

7-year auction bid-to-cover (2.61) a little low, rate (1.932%) highest in last 22-months.  Last of the big auctions for a while, traders seem relieved it’s over.