Blogging Options: CBOE Morning Update 6.28.13

Volatility as an asset class

Blackberry (BBRY) is down $3.00 to $11.50 in the premarket after reporting a surprise quarterly loss. July weekly call option implied volatility is at 96, July is at 80, August is at 70, September is at 58; compared to its 26-week average of 69.

Nike (NKE) is off $0.27 to $62.05 in the premarket on strong Q4 results and conservative guidance.  July call option implied volatility is at 46, October is at 24, January is at 25; compared to its 26-week average of 24.

Accenture (ACN) is lower by $6.82 to $73.40 in the premarket after the consulting company lowered its full-year guidance. July call option implied volatility is at 26, August is at 22, November is at 21; compared to its 26-week average of 19.

CBOE Interest Rate 5 Year Note (FVX) closed at 13.90, above its 50-day moving average of 9.40.

VIX methodology for iShares Silver Trust (VXSLV) closed at 47.87; above its 50-day moving average of 37.40.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 53.08, above its 50-day moving average of 43.35.

Options expected to be active on open at CBOE; IBM AAPL BBRY ACN NKE ABX GLD

CBOE S&P 500 BuyWrite Index (BXM) closed at $946.54, below its 10-day moving average of 948.99 and its 50-day moving average of 957.19. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.86, below its 10-day moving average of 17.92, and above its 50-day moving average of 15.07. www.cboe.com/VIX

Four trading days in next nine days.

SPDR S&P 500 ETF Trust (SPY) is recently up 40c to $161.48 on Fed assurance of continued stimulus.

Calls with increasing volume at CBOE:

PFE 7/20/2013 35 68K contracts
GLD 10/19/2013 131 51K
EEM 12/21/2013 43 19K
IYR 7/20/2013 66 15K
BAC 6/28/2013 13 15K
SPY 7/20/2013 162 14K
SLV 4/19/2014 18 13K

BlackHawks victory parade kicks off an hour after the opening.  European stocks off slightly, Asian stocks modestly higher.   Q2 Window Dressing?