Blogging Options: CBOE Mid-day Update 5.21.14

Volatility as an asset class

Target (TGT) is recently down 2c to $55.60 after the retailer reported slightly lower than expected adjusted earnings for its Q1 and lowered its adjusted profits outlook for the fiscal year. The company said that while it was pleased with its “continued recovery” from its well-publicized data breach. June call option implied volatility is at 18, July is at 17, October and January is at 15; compared to its 26-week average of 18.

Tiffany (TIF) is recently up $7.55 to $95.78 after the retailer reported significantly stronger than expected results and raised its full-year profit guidance. June call option implied volatility is at 19, July is at 18, August is at 17 and November is at 19; compared to its 26-week average of 27.

PHH Corp. (PHH) is recently up $3.56 to $24.72 after Reuters said a Canadian equipment finance company is in exclusive talks to buy PHH’s fleet leasing business for about $1.35B in cash. June call option implied volatility is at 45, August is at 37, November is at 30; compared to its 26-week average of 34.

VIX methodology for iShares MSCI Brazil Index Fund (VXEWZ) down 0.5% to 24.52 into World Cup & October 5th elections

Actives at CBOE:  AAPL TSLA NFLX HD C CLF TWTR TSLA RSH FB

Stocks with increasing volume @ CBOE: IPG BBY BV GREK BIG GTE CBS SNE HMSY PHH CAH IRE

CBOE S&P 500 Short-Term Volatility Index (VXST) up 3.5% to 11.39; compared to its 10-day moving average of 11.63. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 1.37 to 264.84, compared to its 50-day moving average of 260.21. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 5.8% to 12.21. VIX June 14 and 21 calls active on 795K contracts @ CBOE  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 55c to 35.24.

CBOE DJIA Volatility Index (VXD) down 8.1% to 11.19; compared to its 50-day moving average of 13.15.

CBOE Nasdaq-100 Volatility Index (VXN) up 3.7% to 14.77; compared to its 50-day moving average of 17.61.

S&P 100 Options (OEX) recently up $5.52 to $836.42 as Investors await the release of the minutes from the Fed’s last rate-setting meeting to see if there was any change in the language surrounding its monetary policy.