Blogging Options: CBOE Mid-day Update 6.6.14

Volatility as an asset class

Wal-Mart (WMT) is recently down 19c to $77.33 on retailer sees eCommerce sales to reaching $13B this year. 6/13/14 weekly call option implied volatility is at 14, June and September is at 11; compared to its 26-week average of 13.

Melco Crown (MPEL) is recently down 90c to $32.57 as shares of Macau casino operators are falling after two research firms issued cautious notes about the outlook for gambling in the Chinese region. June call option implied volatility is at 54, July is at 45, October is at 49; compared to its 26-week average of 39.

Ford (F) is recently up 32c to $17 after reporting May sales in China grew 32%. Ford June and July call option implied volatility is at 15, August and September is at 17; compared to its 26-week average of 24.

VIX methodology for Apple (VXAPL) -0.1% to 24.40, compared to its 10-day MA of 22.87 into seven for one stocks split.  CBOE.com/VXAPL

Actives at CBOE:  AAPL AMZN MNKD TWTR NFLX HTZ C TSLA BIDU BAC

Stocks with increasing volume @ CBOE: CZR EBIX EXPR NLY WFM TSN BRCM LNCO HYG

CBOE S&P 500 Short-Term Volatility Index (VXST) down 1.14 to 9.73; compared to its 10-day moving average of 10.44. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% 267.65, compared to its 50-day moving average of 262.27 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 4.7% to 11.13. VIX June 13, 13.5 and 15 calls are active on 349K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.37 to 30.59.

CBOE DJIA Volatility Index (VXD) down 4.3% to 10.79; compared to its 50-day moving average of 12.37.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.3% to 13.48; compared to its 50-day moving average of 16.89

S&P 100 Options (OEX) recently up 2.78 to $861.56 following the nonfarm payrolls report showing that 217K jobs were added last month versus the expected increase of 215K jobs. The number of private payrolls grew by 216K, versus the expected increase of 210K, while the unemployment rate was unchanged from last month’s 6.3%.