Blogging Options: CBOE Morning Update 7.11.13

Volatility as an asset class

Yum! Brands (YUM) is up $0.54 to $72.90 in the premarket after the owner of Pizza Hut, KFC and Taco Bell said its earnings fell 15% in Q2 on China division SSS down 20%. Overall option implied volatility of 28 is above its 26-week average of 25.

Bridgepoint Education (BPI) is up $2.89 to $15.50 in the premarket after the company’s Ashford University was granted initial accreditation for five years by a higher education commission. Overall option implied volatility of 146 is above its 26-week average of 71.

Apollo Group (APOL) is up $1.12 to $19.01 in the premarket after the Higher Learning Commission reaffirmed accreditation for the company’s subsidiary, University of Phoenix. Overall option implied volatility of 59 is above its 26-week average of 48.

Costco (COST) is higher by $1.73 to $115.38 in the premarket after reporting June net sales rose 8% to $9.92B vs. $9.16B last year. Overall option implied volatility of 18 is near its 26-week average.

CBOE Crude Oil Volatility Index (OVX) closed at 26.22, above its 10-day moving average of 24.24 and its 50-day moving average of 23.61 as WTI crude oil trades above $106 a barrel. www.CBOE.com/OVX

VIX methodology for iShares Silver Trust (VXSLV) closed at 38.69; above its 50-day moving average of 38.27.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 49.99, above its 50-day moving average of 44.61.

CBOE S&P 500 BuyWrite Index (BXM) closed at $956.11, above its 10-day moving average of 950.52 and below its 50-day moving average of 957.19. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.21, below its 10-day moving average of 15.81, and its 50-day moving average of 15.26. www.cboe.com/VIX

Calls with increasing volume at CBOE:

IWM 9/21/2013 107 92K contracts
BAC 2/22/2014 15 26K
MU 10/19/2013 15 19K
PBR 7/20/2013 13 10K
VXX 7/12/2013 18 9K

SPDR S&P 500 ETF Trust (SPY) is recently up $1.87 to $167.06 as bonds rally and the dollar fell after Ben Bernanke signaled it will continue a stimulus policy.  Weekly Claims up,  European and Asian stocks like the Bernanke comments last night, bond yields lower.
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