Blogging Options: CBOE Morning Update 6.12.14

Retail Sales for May disappointed, showing a 0.3% rise (0.6% expected), Core rate flat (+0.4% expected). US stock futures move negative on the news.

Volatility as an asset class

Energy Select Sector SPDR (XLE) closed at $97.17, is slightly higher on light volume, as WTI Crude Oil trades above $105. Overall option implied volatility of 12 is below its 26-week average of 15.

CBOE Crude Oil Volatility Index (OVX) @ 14.67, WTI near eight-month high CBOE.com/OVX

lululemon (LULU) is down $7.25 to $37 in the premarket after the yoga clothing retailer reported better than expected Q1 EPS by 2c, issued light guidance and announced a $450M share buyback. June weekly call option implied volatility is at 129, July is at 54, September is at 41, December is at 38; compared to its 26-week average of 37.

Restoration Hardware (RH) is up $12.12 to $83.45 in the premarket after reporting better than expected Q1 earnings and raising its FY14 EPS and revenue views. June call option implied volatility is at 74, July is at 51, August is at 42; compared to its 26-week average of 47.

Options expected to be active @ CBOE:  TWTR ARIA LULU RH GERN AMZN AMGN EXC BHP CNX HIMX VIX

CBOE S&P 500 BuyWrite Index (BXM) at 1079.04, compared to its 10-day moving average of 1078.28 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 267.59, compared to its 50-day moving average of 262.87 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.45, compared to its 10-day moving average of 10.329. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) down 10c to 30.79

CBOE Volatility Index (VIX) closed at 11.60, compared to its 10-day moving average of 11.46 and its 50-day moving average of 13.03.

SPDR S&P 500 ETF Trust (SPY) is recently up 13c to $195.05 as The Treasury Department says the total U.S. government budget deficit for May was $130B.

Calls with increasing volume at CBOE:
AAPL 10/18/2014 96.43 29K contracts
EEM 6/21/2014 43.50 21K
CX 7/19/2014 14 11K
F 1/17/2015 17 10K
AAL 11/22/2014 40 10K
SPY 6/13/2014 196 7K
WY 7/19/2014 38 7K
DXJ 11/22/2014 48 7K