Blogging Options: CBOE Morning Update 9.13.13

Volatility as an asset class

Ulta Salon (ULTA) is up $13.84 to $114 in the premarket after the beauty-products retailers reported Q2 earnings rose 28%.  September call option implied volatility is at 62, October is at 40, December is at 36; compared to its 26-week average of 37.

Market Vector Gold Miners (GDX) is down 29c to $25 in the premarket as traders set up positions into next week’s Federal Reserve Meeting.  Overall option implied volatility of 42 is near its 26-week average of 40.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 46.89, near its 10-day moving average of 46.35, 50-day MA is 47.54.

CBOE Gold ETF Volatility Index (GVZ) closed at 25.09, above its 10-day moving average of 24.01 and its 50-day moving average of 23.58. www.cboe.com/GVZ

MSCI Emerging Markets Index (EEM) closed at $40.89. Overall option implied volatility of 22 is near its 26-week average of 20.

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) closed at $25.16, below its 10-day moving average of 26.56 and above its 50-day moving average of 25.84.

Options expected to be active @ CBOE; AAPL ALU NOK FB

CBOE S&P 500 BuyWrite Index (BXM) closed at $967.64, above its 50-day moving average of 957.87. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.29, below its 10-day moving average of 15.61 and above its 50-day moving average of 14.19. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 3c to $168.92 as traders wait for data on retail sales.

Calls with increasing volume at CBOE:

EEM 9/27/2013 42 15K contracts
SPY 9/13/2013 169 14K
VXX 9/21/2013 16 13K
MSFT 1/18/2014 33 10K
AAPL 9/13/2013 475 7K
XLK 12/21/2013 34 7K