Blogging Options: CBOE Mid-day Update 5.22.14

Volatility as an asset class

Best Buy (BBY) is recently up 59c to $25.94 after reporting Q1 adjusted EPS 33c, consensus 20c.  June call option implied volatility is at 34, July is at 31, September is at 34; compared to its 26-week average of 41.

Sears Holdings (SHLD) is recently down 46c after the retailer reported a Q1 loss that was nearly double what analysts projected in both the U.S and Canada. June call option implied volatility is at 49, July is at 46, September is at 47; compared to its 26-week average of 57.

Tree (DLTR) is recently up $3.66 to $53.66 after the discount variety store retailer reported a Q1 profit that topped analysts’ consensus estimates. June call option implied volatility is at 19, July is at 18, November is at 19; compared to its 26-week average of 22.

Actives at CBOE:  AAPL TSLA NFLX SIRI FB WY HPQ TSLA TWTR

Stocks with increasing volume @ CBOE: ESI APOL WY CFN SN BCEI CTIC SAM ARCP IVR

CBOE S&P 500 Short-Term Volatility Index (VXST) down 2.2% to 10.24; compared to its 10-day moving average of 11.25. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) at 265.24, compared to its 50-day moving average of 260.46. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.9% to 11.80. VIX June 17, 19, 21, 22 & 27 calls active on 324K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 13c to 35.09.

CBOE DJIA Volatility Index (VXD) down 1% to 11.04; compared to its 50-day moving average of 13.10.

CBOE Nasdaq-100 Volatility Index (VXN) down 2.3% to 14.17; compared to its 50-day moving average of 17.57

S&P 100 Options (OEX) recently up $1.72 to $839.74 on strength in manufacturing increased confidence in the global economy.