Blogging Options: CBOE Morning Update 8.7.13

Volatility as an asset class

First Solar (FSLR) is down $3.94 to $42.81 in the premarket after the solar panel maker reported a Q2 profit decrease of 70%. Overall option implied volatility of 75 is above its 26-week average of 63.

Zillow (Z) is off $8.11 to $82.70 after the real-estate information provider reported a larger than expected Q2 loss. Overall option implied volatility of 71 is above its 26-week average of 52.

CF Industries (CF) closed at $189.54 into the fertilizer producer reported Q2 earnings fell 18%. Overall option implied volatility of 37 is above its 26-week average of 29.

Nuance (NUAN) is down $1.32 to $18 in the premarket after the speech software maker reported a Q3 loss. August call option implied volatility is at 62, September is at 44, October is at 39, January is at 34; compared to its 26-week average of 41.

Options expected to be active @ CBOE; BAC NOK DIS RL FB FSLR FNSR Z GRPN NVDA

CBOE S&P 500 BuyWrite Index (BXM) closed at $965.10, above 50-day moving average of 956.17. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.72, below its 10-day moving average of 12.85, and its 50-day moving average of 15.24. www.cboe.com/VIX

Calls with increasing volume at CBOE:

SPY 9/21/2013 180 27K contracts
PBR 8/17/2013 14 10K
S 9/21/2013 7 10K
MSFT 1/18/2014 33 10K
XLK 8/17/2013 33 9K
ADT 10/19/2013 44 8K
AAPL 8/9/2013 470 7K

SPDR S&P 500 ETF Trust (SPY) is down $0.47 to $169.27 on concern over Federal Reserve stimulus policy.

Top 5 day with VIX option volume yesterday.  Japanese markets off 4% overnight. 10-year drops 2 ticks to 2.62%, Crude down fractionally, grains mixed.