Blogging Options: CBOE Morning Update 7.16.13

Volatility as an asset class

Goldman Sachs (GS) is up $1.34 to $164.34 in the pre-market on Q2 net doubles on strong trading and investment banking revenue.  July call option implied volatility is at 33, August is at 24, October is at 22, January is at 23; compared to its 26-week average of 24.

Coca-Cola (KO) is down $1.27 to $39.74 in the premarket on Q2 net declining 4% on weak volume growth. July call option implied volatility is at 21, August and November is at 16; compared to its 26-week average of 17.

Johnson & Johnson (JNJ) is higher by $0.80 to $91.20 in the premarket better then expected Q2 earnings and raising its full-year profit view. Overall option implied volatility of 16 is above its 26-week average of 13.

VIX methodology for Google (VXGOG) at 27.07; above 50-day moving average of 25.16 into Q2 results expected to be released on July 18.

CBOE S&P 500 BuyWrite Index (BXM) closed at $956.98, above its 10-day moving average of 956.98 and its 50-day moving average of 957.09. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.79, below its 10-day moving average of 14.88, and its 50-day moving average of 15.26. www.cboe.com/VIX

Calls with increasing volume at CBOE:

SPY 7/20/2013 168 23K
IWM 9/21/2013 107 19K
IP 7/20/2013 50 19K
BAC 7/20/2013 14 17K
MU 10/19/2013 14 8K

SPDR S&P 500 ETF Trust (SPY) is recently down 2c to $168.13 into the start of earnings season.

The CPI rose 0.5% (+0.3% expected), Core rate (X_Food & Energy +0.2%). Hot & humid expiration week in Chicago.  Oil, metals and grains creep higher in light trade.