Blogging Options: CBOE Mid-Day Update 6.19.14

Volatility as an asset class

Blackberry (BBRY) is recently up $1.01 to $9.28 after reporting 2.6M phones sold in Q1 and a quarterly losses that were not as steep as expected. June weekly call option implied volatility is at 58, July is at 54, August is at 45; compared to its 26-week average of 56.

Coach (COH) is recently down $3.32 to $35.87 after the accessory retailer sees ‘low double digit’ revenue decline in FY15, consensus $4.67B. June weekly call option implied volatility is at 45, July is at 34, August is at 33, November is at 31; compared to its 26-week average of 26.

Pier 1 Imports (PIR) is recently down $2.18 to $16.08 after the home furnishings retailer hit a fresh 52-week low after the company’s Q1 results missed analysts’ consensus estimates and it lowered its fiscal 2015 earnings per share outlook. July call option implied volatility is at 34, September and December is at 33; compared to its 26-week average of 33.

CBOE Interest Rate 5 Year Note (FVX) is recently down 39c to 16.73 as Treasury prices stabilizes after the Federal Reserve monetary policy decision of leaving rates unchanged.

Actives at CBOE:  AAPL TSLA TWTR AMZN FB NFLX SCTY NFLX BBRY LVS BAC TSLA

Stocks with increasing volume @ CBOE:  VRS AA ZNGA TEX BOBE ASHR SNMX COH KORS

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 45c to 10.19; compared to its 10-day moving average of 10.83. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 268.06, compared to its 50-day moving average of 263.92 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.7% to 10.54. VIX July 13, 14, 16, 19, 20 and 25 calls are active on 408K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1c to 29.03.

CBOE DJIA Volatility Index (VXD) down 1.2% to 10.45; compared to its 50-day moving average of 12.01.

CBOE Nasdaq-100 Volatility Index (VXN) down 7c to 12.58; compared to its 50-day moving average of 16.05.

S&P 100 Options (OEX) recently down 54c to $864.10 after trading to a record high on FOMC moves.