Blogging Options: CBOE Morning Update 6.9.15

Volatility as an asset class

Lululemon Athletica (LULU) is recently up $2.23 to $63.60 in the premarket after raising FY15 EPS to $1.86-$1.91 from $1.85-$1.90, compared to consensus $1.93. June weekly call option implied volatility is at 105, June is at 68, September is at 39; compared to its 52-week range of 27 to 62.

H&R Block (HRB) is recently down 19c to $31.09 in the premarket reporting FY15 EPS $1.75, compared to consensus $1.73.  June call option implied volatility is at 33, July is at 29, October is at 26; compared to its 26-range of 19 to 33.

United Natural Foods (UNFI) is recently down $4.41 to $59.25 in the premarket after reporting less than expected Q3 results and lowered 2015 outlook. June call option implied volatility is at 38, July is at 28, August is at 26; compared to its 52-week range 22 to 37.

CBOE Russell 2000 Volatility Index (RVX) at 17.59 compared to 50-day moving average of 16.80 cboe.com/RVX

CBOE Gold Volatility Index (GVZ) at 15.14, compared to its 10-day moving average of 14.90 cboe.com/GVZ

CBOE Russell 2000 BuyWrite Index (BXR) at 215.41 http://ht.ly/2ZuJ6N

Equities options volume @ CBOE 795,341 calls, 485,865 puts, 1,281,206 total cboe.com

Options expected to be active @ CBOE: LULU HRB HBC AAL DAL UAL LUV TBT TLT LQD

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.29 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.89, compared to 50-day moving average of 12.78.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.70, compared to 50-day moving average of 12.78 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 26.36, compared to 10-day moving average of 25.77.

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.47, compared to 10-day moving average of 19.07.

CBOE Volatility Index (VIX) at 15.29, compared to 10-day moving average of 14.06 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 42c to $208.06 as losses mount in Asia and Europe again on top of yesterday’s declines on Wall Street.

Calls with increasing volume at CBOE:

INTC 6/19/2015 33 11K contracts
SPY 6/12/2015 210 10K
AAPL 6/12/2015 129 10K
VZ 8/21/2015 49 9K
BAC 6/12/2015 17.50 6K