Blogging Options: CBOE Morning Update 7.30.13

Volatility as an asset class

BP (BP) is down $1.84 to $41.28 in the premarket on Q2 results missing expectations. Overall option implied volatility of 17 is near its 26-week average of 18.

Pfizer (PFE) is up $0.06 to $29.60 on net revenue down 7.1% and outline of its restructuring plan. Overall option implied volatility of 19 compares to its 26-week average of 17.

Herbalife (HLF) is higher by $4.23 to $64 on Q2 profit rising 8.5% as the nutritional –supplements maker recorded double digit sales growth.  Overall option implied volatility of 80 is above its 26-week average of 55.

Stocks expected to be active @ CBOE; AGU MON MOS CF RNF POT IPI BP X MRK PFE HLF ALU POT LNKD

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.55, above its 50-day moving average of 956.31. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.39, above its 10-day moving average of 13.17, and below its 50-day moving average of 15.33. www.cboe.com/VIX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) at 6.59 into Fed meeting.

SPDR S&P 500 ETF Trust (SPY) is recently up 53c to $169.12 on solid corporate earnings.

Calls with increasing volume at CBOE:

PPL 8/17/2013 31 10K contracts
IWM 9/21/2013 105 10K
SPY 8/30/2013 175 9K
FB 8/2/2013 35 8K
HTZ 9/21/2013 27 4K

European & Asian stocks modestly higher, bond yields dip.  Summer doldrums?