Blogging Options: CBOE Morning Update 6.10.15

Volatility as an asset class

Netflix (NFLX) is recently up $7.55 to $654.70 in the premarket after UBS raised its price target to $722 from $600 citing international launches, its superior content position, solid subscriber growth and reasonable valuation. June weekly call option implied volatility is at 26, June is at 27, July is at 40, October is at 37; compared to its 52-week range of 24 to 87.

Tesla (TSLA) is recently down 50c to $255.50 in the premarket after announcing the retirement of CFO Deepak Ahuja later this year. June weekly call option implied volatility is at 33, June is at 32, July is at 35, September is at 37; compared to its 52-week range of average of 29 to 62.

Mattress Firm Holding (MFRM) is recently up 13c to $61.79 after reporting less than expected Q1 results and raising FY15 outlook. June call option implied volatility is at 61, July is at 41, October is at 36; compared to its 52-week range of 26 to 51.

CBOE Russell 2000 Volatility Index (RVX) at 17.25 compared to 50-day moving average of 16.78 cboe.com/RVX

CBOE Gold Volatility Index (GVZ) at 14.83, compared to its 10-day moving average of 14.86 cboe.com/GVZ

CBOE Russell 2000 BuyWrite Index (BXR) at 215.26 http://ht.ly/2ZuJ6N

Equities options volume @ CBOE 752,022 calls, 470,424 puts, 1,222,446 total cboe.com

Options expected to be active @ CBOE: NFLX NVDA UAL DAL LUV AAL TBT TLT

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.36 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.49, compared to 10-day moving average of 15.34.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.05, compared to 50-day moving average of 12.79 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 26.03, compared to 10-day moving average of 25.76.

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.25, compared to 10-day moving average of 19.06.

CBOE Volatility Index (VIX) at 14.47, compared to 10-day moving average of 14.10 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 98c to $208.47 as the yield on the 10-year German government bund rose above 1%.

Calls with increasing volume at CBOE:

SPY 7/17/2015 218 16K contracts
GPK 12/18/2015 15 12K
QQQ 7/17/2015 114 10K
AAPL 6/12/2015 128 10K
RH 7/17/2015 95 10K
ATML 8/21/2015 12 7K