Blogging Options: CBOE Morning Update 7.19.13

Volatility as an asset class

Microsoft (MSFT) opened down $3.20 to $32.32 after reporting Q4 EPS and revenue below analyst expectations, which the company said was a result of the decline in the PC market. Overall option implied volatility of 23 is near its 26-week average of 22.

Google (GOOG) is down $29.00 to $881.60 after reporting Q2 EPS and revenue below analyst expectations, though the company reported an increase in paid clicks, and an increase in Motorola Mobile revenue. July call option implied volatility is at 74, August is at 26, September is at 21; compared to its 26-week average of 25.

Intuitive Surgical (ISRG) is off $53.02 to $368.45 after disappointing Q2 results that included news of an FDA warning letter. Overall option implied volatility of 39 is above its 26-week average of 32.

Options expected to be active at CBOE: TWI CHTR ISRG MSFT GOOG SOHU SLB AMD DELL

CBOE S&P 500 BuyWrite Index (BXM) closed at $957.19, above its 10-day moving average of 956.53 and its 50-day moving average of 956.82. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.77, below its 10-day moving average of 14.18, and its 50-day moving average of 15.33. www.cboe.com/VIX

SSPDR S&P 500 ETF Trust (SPY) is recently down $0.45 to $168.42 but was set for a fourth week of back-to-back gains following mixed corporate earnings and assurances from the Federal Reserve about its plans for stimulus withdrawal.

Calls with increasing volume at CBOE:

SPY 7/20/2013 170 36K contracts

CSCO 8/17/2013 28 36K

VXX 9/21/2013 26 18K

BAC 2/22/2014 14 13K

C 7/20/2013 50 11K

PBR 8/17/2013 15 11K

 

Detroit bankruptcy and a few earnings misses not crushing markets.  1-0-year drops from 2.53% to 2.51%.  Huge SPX volume yesterday. VIX opens flat.