Blogging Options: CBOE Morning Update 7.22.13

Volatility as an asset class

McDonald’s (MCD) is down $2.15 to $98.09 after reporting Q2 EPS $1.38, compared to consensus $1.40. Overall option implied volatility of 15 is near its 26-week average of 15.

Hasbro (HAS) is higher by $0.75 to $46.13 after reporting Q2 adjusted EPS 29c, compared to consensus 34c. Q2 revenue was $766.3M, compared to consensus $794.71M. Overall option implied volatility of 26 is near its 26-week average of 24.

Halliburton (HAL) is down $0.35c to $45.48 after the oilfield-services company reported Q2 revenue fell 8.2%. July weekly call option implied volatility is at 63, August is at 33, October is at 27, January is at 25; compared to its 26-week average of 28.

Kimberly Clark (KMB) is off $1.79 to $97.50 into reporting Q2 earnings rose 5.2%. July weekly call option implied volatility is at 33, August is at 18, October is at 16; compared to its 26-week average of 17.

Options expected to be active @ CBOE: ALU BP HIMX ARMH MSFT FB ARMH

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.08, above its 10-day moving average of 956.94 and its 50-day moving average of 956.73. www.cboe.com/BXM

CBOE Volatility Index (VIX)is higher by 0.80 to 13.34, below its 10-day moving average of 13.94, and its 50-day moving average of 15.33. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 21c to $169.38 into one third of S&P 500 companies reporting financial results this week.

Calls with increasing volume at CBOE Friday:

SPY 7/20/2013 169 25K contracts
MSFT 8/17/2013 32 14K
MU 1/18/2014 15 13K
UPS 7/20/2013 87.50 13K
EEM 12/21/2013 40.0000 12K
CSCO 8/17/2013 28.0000 12K
WU 7/20/2013 17.0000 11K

 

June Home Sales off a surprising 1.2% and May revised lower.  10-year 2.47%.