Blogging Options: CBOE Morning Update 7.9.13

Volatility as an asset class

Tesla (TSLA) is up $0.75 to $122.35, touching $125 in early trading, as it will be added to the NASDAQ-100 Index (NDX) prior to the market open on July 15. TSLA will replace Oracle Corporation. Overall option implied volatility of 63 is above its 26-week average of 49.

Barnes & Noble (BKS) is up $0.70 to $18.36 with the resignation of its CEO and the company reviewing its current strategic plan.  Overall option implied volatility of 50 is near its 26-week average of 49.

Intuitive Surgical (ISRG) is down $87.00 to $413 after a negative Q2 preannouncement.  Overall option implied volatility of 33 is near its 26-week average 32.

Alcoa (AA) is off $0.12 to $7.80 after updating its FY13 end-market outlook. Earnings met expectations but had been lowered several times in the last 90 days.  Overall option implied volatility of 34, above its 26-week average of 27.

CBOE Interest Rate 5 Year Note (FVX) is at 14.88, off 0.20, above its 50-day moving average of 10.30.

VIX methodology for iShares Silver Trust (VXSLV) dropped to 40.20, off 1.49; above its 50-day moving average of 38.15.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) was at 51.40, dropping 1.71.  That’s above its 50-day moving average of 44.26.

CBOE S&P 500 BuyWrite Index (BXM) was ahead by 0.50 in the first hour of trading at $955.53, above its 10-day moving average of 946.30 and nearing its 50-day moving average of 957.27. www.cboe.com/BXM

CBOE Volatility Index (VIX) was off fractionally at 14.53, lower by 0.25. That’s below its 10-day moving average of 16.81, and its 50-day moving average of 15.23. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) was up 0.55 to $164.50 as the dollar traded near a three-year high.

Calls with increasing volume at CBOE Monday included:

SPY 7/20/2013 167    13K contracts
BAC 7/12/2013 13.50  9K
VXX 8/17/2013 24        8K
ZTS 8/17/2013 32        8K
NTAP 7/20/2013 40      7K

VX Futures traded ~195k yesterday with VIX options trading ~730k.