Blogging Options: CBOE Morning update 7.2.13

Volatility as an asset class

Zynga (ZNGA) is up 15c to $3.22 in the premarket after the game maker founder Mark Pincus stepping down as CEO and being replaced by Don Mattrick who has been leading Microsoft’s (MSFT) Xbox division.  Overall option implied volatility of 71 is near its 26-week average 70.

Constellation Brands (STZ) is down $1.15 to $52 in the premarket on the spirits company seeing FY14 adjusted EPS of $2.60-$2.90, compared to consensus $2.82. Overall option implied volatility of 29 is below its 26-week average of 33.

Walt Disney (DIS) closed at $63.93 into its’ board of director extending Robert Iger’s tenure as CEO and chairman through the expiration of his contract on June 30, 2016. July call option implied volatility is at 21, August is at 24, October is at 22; compared to its 26-week average of 22.

Options expected to be active today; NOK BAC ACHN F GM MU ZNGA TSLA

VIX methodology for Apple $VXAPL closed at 30.29, above its 50-day moving average of28.59 www.cboe.com/VXAPL

CBOE Interest Rate 5 Year Note (FVX) closed at 13.96, above its 50-day moving average of 9.60.

VIX methodology for iShares Silver Trust (VXSLV) closed at 42.75; above its 50-day moving average of 37.67.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 49.18, above its 50-day moving average of 43.48.

CBOE S&P 500 BuyWrite Index (BXM) closed at $948.92, above its 10-day moving average of 946.11 and its 50-day moving average of 957.53. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.37, below its 10-day moving average of 17.85, and above its 50-day moving average of 15.09. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 15c to $161.51 into June auto sales.

Calls with increasing volume at CBOE:

SPY 7/20/2013 162 16K contracts
IWM 7/20/2013 99 14K
BAC 7/5/2013 13 11K
DELL 8/17/2013 14 7K
EEM 7/20/2013 40 6K
AAPL 7/5/2013 410 5K
ZNGA 7/20/2013 3 4K