Blogging Options: CBOE Morning Update 7.15.13

Volatility as an asset class

Leap Wireless (LEAP) is up $9.03 to $17.01 in the premarket after AT&T (T) announced the acquisition of Leap for $15.00 in cash per share. Overall option implied volatility of 65 is above its 26-week average of 58.  LEAP traded as high as $48 five years ago

Citigroup (C) is up $1.27 to $52 in the premarket after reporting Q2 EPS ex-items $1.25, consensus $1.18. July call option implied volatility is at 29, August is at 28, September is at 24; compared to its 26-week average of 27.

Financial Select Sector (XLF) is up $0.09 to $20.44 in the premarket into financial earnings reports from GS, BK, BAC, AXP, USB and PNC this week. Overall volatility at 17, 26-week average is 19.

VIX methodology for Goldman Sachs (VXGS) at 25.83; below its 10-day moving average of 29.29 into results expected to be release of Q2 results on July 16.

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.54, above its 10-day moving average of 953.05 and its 50-day moving average of 957.15. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.84, below its 10-day moving average of 15.19, and its 50-day moving average of 15.25. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 26c to $167.77 as major equity indexes trade near record highs.

Calls with increasing volume at CBOE:

SPY 12/21/2013 180 20K contracts
VXX 7/26/2013 29 19K
BAC 7/12/2013 13 17K
EFA 7/20/2013 63 11K

Today is “Umi No Hi” or Marine Day in Japan, so light trading in Asia. Grains down again on warm midwest weather.  More data and earnings later today.