Blogging Options: CBOE Morning Update 7.23.13

Volatility as an asset class

Netflix (NFLX) is down $8.92 to $253.03 in the premarket after the streaming video provider said it gained 630K U.S. streaming subscribers in Q2. Overall option implied volatility of 64 is above its 26-week average of 55.

Texas Instrument (TXN) is recently up $1.08 to $38.50 in the premarket after reporting a Q2 profit increase of 48%. August and October put option implied volatility is at 33; above its 26-week average of 28.

Freeport McMoRan (FCX) is recently up $0.55 to $29.70 in the premarket after reporting Q2 EPS 49c, compared to its consensus 41c. July weekly call option implied volatility is at 36, August is at 31, September is at 29; compared to its 26-week average of 32.

VIX methodology for Apple $VXAPL @ 29.88, $AAPL overall IV @ 30 into Q3 www.cboe.com/VXAPL

Options expected to be active @ CBOE: BAC YHOO NFLX ARRY TXN JDSU AAPL AKAM BA

CBOE S&P 500 BuyWrite Index (BXM) closed at $960.10, above its 10-day moving average of 957.45 and its 50-day moving average of 956.69. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.29, off 0.25, below its 10-day moving average of 13.70, and its 50-day moving average of 15.31. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 27c to $169.77 on China’s economic stimulus efforts and solid earnings reports from U.S. corporations.

Calls with increasing volume at CBOE:

EEM 7/26/2013 40 20K contracts
SPY 8/17/2013 176 11K
MU 1/18/2014 15 10K
MSFT 1/18/2014 32 8K
BAC 7/26/2013 15 6K

Puts with increasing volume at CBOE:

SPY 7/20/2013 168.50 26K contracts
IWM 8/2/2013 103 16K
INTC 7/20/2013 23 16K
QQQ 7/26/2013 73.50 15K
MSFT 7/20/2013 33 14K

More earnings this morning.  UPS meets lowered guidance and is unchanged.  DD is higher by $2.50 after results meet and company thinking of”strategic move” with one of it’s divisions.