Blogging Options: CBOE Morning Update 7.3.13

Volatility as an asset class:

Little corporate news this morning.  S&P lowers Credit Suisse, Deutsche Bank and Barclay’s from A+ to A,  Alcoa and Overstock ratings lowered.

CBOE Crude Oil Volatility Index (OVX) at 22.63, below its 10-day moving average of 23.06 and its 50-day moving average of 23.35 as WTI crude oil trades above $101 a barrel. www.CBOE.com/OVX

Energy Select Sector SPDR (XLE) overall option implied volatility of 19 is above its 26-week average of 17.

Oil Services Holders Trust (OIH) overall option implied volatility of 22 is at its 26-week average.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) overall option implied volatility of 25 is above its 26-week average of 23.

CBOE Interest Rate 5 Year Note (FVX) closed at 13.78, above its 50-day moving average of 9.81 into Friday’s June employment report.

VIX methodology for iShares Silver Trust (VXSLV) closed at 40.82; above its 50-day moving average of 37.76.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 50.21, above its 50-day moving average of 43.61.

CBOE S&P 500 BuyWrite Index (BXM) closed at $949.44, above its 10-day moving average of 943.98 and its 50-day moving average of 957.47. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 16.44, below its 10-day moving average of 17.83, and above its 50-day moving average of 15.13. www.cboe.com/VIX

One and half trading days in next five-days.
Options volume pretty good for a holiday week at ~13mm.  CBOE traded 3.735mm contracts.  SPX Weeklys traded ~300k contracts.  Calls with increasing volume at CBOE:

XLP 9/21/2013 42 20K contracts
SVU 7/20/2013 7 15K
SPY 7/5/2013 162 11K
BAC 7/5/2013 13 10K
DELL 8/17/2013 13 10K
QQQ 7/20/2013 72 10K

SPDR S&P 500 ETF Trust (SPY) is down 74c to $160.49 in the premarket as Nymex crude trades at a 14-month high ($102), the Obama administration delaying the employer coverage mandate and Portugal (Finance Minister and possibly more resign) markets selling off 5%.
ADP June new jobs showed a gain of 188k, higher than expected.  Egypt news still unfolding.
Markets close at noon CDT, SPX and Futures 12:15pm.