Blogging Options: CBOE Morning Update 7.24.13

Volatility as an asset class

Apple  (AAPL) is up $18 to $437 after beating on both the top and bottom lines and reporting iPhone sales of 31.2M units, topping expectations. July weekly call option implied volatility is at 65, August is at 28, September is at 24, October and January is at 23; compared to its 26-week average of 29.

VIX methodology for Apple (VXAPL) closed at 30.23, compared to its 50-day moving average of 28.64 www.cboe.com/VXAPL

VMware (VMW) is up $9.73 to $81  after the cloud software provider issued strong Q2 report and guidance.  Overall option implied volatility of 43 is above its 26-week average of 37.

AT&T (T) is down $0.61 to $35.20 after its quarterly report beat on the top line but missed by 1c on the bottom line. July weekly call option implied volatility is at 20, August is at 15, September is at 14; compared to its 26-week average of 17.

Electronic Arts (EA) is higher by $1.83 to $25.65 after the company reported a smaller than expected loss for its Q1 of 40 cents, versus consensus for a 60 cent loss. August call option implied volatility is at 43, September is at 36, December is at 34; compared to its 26-week average of 39.

Panera Bread (PNRA) is down $13.41 to $168.60 after lowering diluted earnings per share targets. August call option implied volatility is at 28, November is at 24, January is at 23; compared to its 26-week average of 26.

Options expected to be active @ CBOE: F BAC AAPL EMC VMW $DELL ZNGA FB BA

CBOE S&P 500 BuyWrite Index (BXM) closed at $959.08, above its 10-day moving average of 957.74 and its 50-day moving average of 956.61. www.cboe.com/BXM

CBOE Volatility Index (VIX) was last reported as 12.98, up 0.32, below its 10-day moving average of 13.53, and its 50-day moving average of 15.31. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) was fractionally lower at 169 on solid earnings reports from U.S. corporations.

Calls with increasing volume at CBOE yesterday:

XLI 8/17/2013 46 40K contracts
PBR 8/17/2013 16 10K
CSCO 1/18/2014 22 10K
XLF 12/21/2013 22 9K
SH 9/21/2013 28 8K
MSFT 9/21/2013 33 7K
SPY 8/17/2013 178 6K
FCX 9/21/2013 30 6K

 

New Home Sales hit numbers not seen since May ’08. 10-year up 5 basis points on that news.  Seagate (STX) off 5%.  Earnings and more earnings.