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