Blogging Options: CBOE Morning Update 7.31.13

Volatility as an asset class

Amgen (AMGN) is recently down $2.55 to $108.65 on lower than expected Q2 earnings on increased research and development costs.  Overall option implied volatility of 26 is above its 26-week average of 23.

Buffalo Wild Wings (BWLD) is up $1.52 to $99.21 in the premarket on inline Q2 earnings and concerns about slow same store sales growth. Overall option implied volatility of 36 is above its 26-week average of 32.

Symantec is (SYMC) is higher by $1.35 to $25.70 after the security-software maker reported results topping expectations. Overall option implied volatility of 31 is above its 26-week average of 28.

IAC (IACI) closed at $52.63 into the internet company reporting a Q2 profit increase of 35%. Overall option implied volatility of 33 is near its 26-week average of 32.

Cubist Pharmaceuticals (CBST) is recently up $3.10 to $60.10 in the premarket after acquiring Optimer Pharmaceuticals (OPTR) for $535M and Trius Therapeutics (TSRX) for $707M.  Overall option implied volatility of 40 is above its 26-week average of 36.

VIX methodology for Google (VXGOG) at 19.17; below 50-day moving average of 25.01 into Moto X smartphone launch on Aug 1

Stocks expected to be active @ CBOE; APD ALU BAC POT FB SODA RVBD XOM LNKD

CBOE S&P 500 BuyWrite Index (BXM) closed at $958.54, above 50-day moving average of 956.15. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.39, above its 10-day moving average of 13.06, and its 50-day moving average of 15.35. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 23c to $168.78 into last day of month, 30 S&P 500 company’s reporting and Fed policy statement.

Calls with increasing volume at CBOE:

PFE 1/17/2015 30 23K contracts
S 9/21/2013 6 19K
SPY 8/2/2013 169 12K
MU 1/18/2014 16 7K
FB 8/2/2013 38 7K

Q2 GDP up 1.7%, beating slightly.  Previous Q revised lower, as was consumption.  So mixed but slightly positive economic data.  Watch the 10-year.