Blogging Options: CBOE Morning Update 7.18.13

Volatility as an asset class

IBM (IBM) is up $3.71 to $198.26 in the premarket on Q2 profit falling 29%, beating analyst expectations.  July call option implied volatility is at 34, August is at 27, October is at 21, January is at 20; above its 26-week average of 18.

SanDisk (SNDK) is up $2.56 to $62 in the premarket after the flash-memory maker posted better than expected Q2 earnings. July call option implied volatility is at 55, August is at 35; compared to its 26-week average of 32.

Xilinx (XLNX) is higher by $1.60 to $45.13 in the premarket after the chip manufacturer reported Q1 earnings rose 21%. Overall option implied volatility of 31 is above its 26-week average of 25.

Intel (INTC) is down $0.78 to $23.37 in the premarket after the chip maker reported a Q2 profit decrease of 29%. July call option implied volatility is at 41, August is at 25, October is at 24; compared to its 26-week average of 23.

American Express (AXP) is lower by $1.21 to $75.29 in the premarket on Q2 profit rising 4.9%. July call option implied volatility is at 38, August is at 23, October is at 21; compared to its 26-week average of 21.

eBay (EBAY) is down $3.78 to $53.60 in the premarket after the online-retailer reported Q2 earnings decreased 7.5%. July call option implied volatility is at 52, August is at 28, October is at 26; compared to its 26-week average of 30.

CBOE S&P 500 BuyWrite Index (BXM) closed at $957.58, above its 10-day moving average of 955.77 and its 50-day moving average of 956.92. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.78, below its 10-day moving average of 14.42, and its 50-day moving average of 15.31. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 13c to $168.12 on solid corporate results.

Calls with increasing volume at CBOE:

BAC 7/20/2013 14 31K contracts
SPY 8/17/2013 176 19K
PHM 1/18/2014 22 19K
C 1/18/2014 35 10K

Puts with increasing volume at CBOE:

SPY 7/26/2013 164 41K contracts
PHM 1/18/2014 15 19K
EEM 8/17/2013 38 19K
XLF 8/17/2013 19 19K
VXX 8/17/2013 17 11K
BAC 7/20/2013 14 10K

Lots of earnings reports this morning.  UNH up $2 while VZ off $0.30.  DD active pre-market on Mr Peltz’s comments.  Weekly Jobless claims dip sharply but Continuing Claims jump 91k.
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