Blogging Options: CBOE Morning Update 6.27.13

Volatility as an asset class

Bed Bath and Beyond (BBBY) is recently down $0.54 to $69.46 in the premarket after the home-furnishing retailer reported Q1 earnings decreased 2.1%. July call option implied volatility is at 35, August is at 29, November is at 27; compared to its 26-week average of 28.

ConAgra (CAG) is up $0.80 to $34.15 in the premarket on the company sees Q1 EPS in line with comparable year-ago amounts. Overall option implied volatility of 20 is above its 26-week average of 16.

Paychex (PAYX) is recently down $1.37 to $36.62 in the premarket after reporting Q4 EPS of 34c, compared to consensus 38c. Overall option implied volatility of 18 is near its 26-week average of 17.

Newmont Mining (NEM) is up $0.33 to $27.55 in the premarket as gold trades near a three-year low. Overall option implied volatility of 44 is above its 26-week average of 30.

CBOE Interest Rate 5 Year Note (FVX) closed at 14.27, above its 50-day moving average of 9.26.

VIX methodology for iShares Silver Trust (VXSLV) closed at 45.70; above its 50-day moving average of 37.23.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 50.26, above its 50-day moving average of 43.32.

Options expected to be active on open at CBOE; BBRY FP MU ABX GLD

CBOE S&P 500 BuyWrite Index (BXM) closed at $943.56, below its 10-day moving average of 950.63 and its 50-day moving average of 957.18. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 17.20, below its 10-day moving average of 17.87, and above its 50-day moving average of 15.07. www.cboe.com/VIX

Five trading days in next ten days.

SPDR S&P 500 ETF Trust (SPY) is recently up 57c to $160.69 as the Nikkei 225 rally’s 2.96%.

Calls with increasing volume at CBOE:

SPY 7/20/2013 160 27K contracts
EWZ 7/20/2013 55 20K
PFE 7/20/2013 35 16K
SGMO 1/17/2015 7 10K
DVN 1/17/2015 65 10K
GLD 12/21/2013 140 9K

Personal Income & Spending about in line with estimates, revisions for Q1 data.  Overseas markets calm