Blogging Options: CBOE Morning Update 7.12.13

Volatility as an asset class

JP Morgan (JPM) is up $0.36 to $55.48 in the premarket on Q2 net income increasing 31% and flat total loan growth.  Overall option implied volatility of 22 is near its 26-week average of 22.

Infosys (INFY) is up $3.60 to $47.93 in the premarket on the consultant company reporting Q1 earnings surprise beat and seeing FY14 revenue up 6%-10%. Overall option implied volatility of 53 is above its 26-week average of 34.

Wells Fargo (WFC) is up $0.41 to $42.30 in the premarket on Q2 net income increasing 19%.  Overall option implied volatility of 23 is above its 26-week average of 20.

Financial Select Sector (XLF) is recently up $0.02 to $20.23 in the premarket as banking indexes trade near 58-month highs. Overall volatility at 18, compared to its 26-week average is 19.

CBOE Crude Oil Volatility Index (OVX) closed at 24.58, above its 10-day moving average of 24.41 and its 50-day moving average of 23.61 as WTI crude oil trades up 0.57% to $105.51 a barrel. www.CBOE.com/OVX

VIX methodology for iShares Silver Trust (VXSLV) closed at 35.89; below its 50-day moving average of 38.31.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 46.15, above its 50-day moving average of 44.73.

CBOE S&P 500 BuyWrite Index (BXM) closed at $956.81, above its 10-day moving average of 951.85 and its 50-day moving average of 957.13. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.01, below its 10-day moving average of 15.49, and its 50-day moving average of 15.27. www.cboe.com/VIX

Calls with increasing volume at CBOE:

SPY 7/12/2013 167 25K contracts
BAC 7/20/2013 14 15K
QQQ 7/20/2013 76 14K
VXX 7/20/2013 28 12K
EEM 10/19/2013 41 9K

SPDR S&P 500 ETF Trust (SPY) is off $0.05 to $167.39 as major equity indexes trade near record highs. UPS is off $4.50 to $86.95 on Q2 lower guidance.  June PPI rose 0.8%, higher than the +0.5 consensus. Asian stocks mixed, European shares fractionally higher. Oil up again while metals retreat.