Blogging Options: CBOE Morning Update

Volatility as an asset class

Nvidia (NVDA) is recently up 94c to $13.38 after reporting Q1 adjusted EPS 16c, consensus 10c. May weekly call option implied volatility was at 118, May standards is at 68, June is at 46, September is at 43.

JP Morgan (JPM) is recently down $3.29 (~8%) to $37.44 in the premarket after announcing a large, illiquid hedge position which has already resulted in a $2B loss. JP Morgan overall option implied volatility of 30 is below its 26-week average of 34.

Arena (ARNA) is recently up $3.54 to $7.20 in the premarket after an FDA advisory panel voted 18-4 in favor of the company’s obesity drug. Overall option implied volatility of 201 is above its 26-week average of 141.

Financial Select Sector overall volatility at 25, 26-week average is 25.

CBOE Volatility Index-VIX closed at 18.82, 10-day moving average is 18.05, 50-day moving average is 17.18.

U.S. equities are lower by .5% on JPMorgan $2B credit derivative loss. European stocks lower on JPM news and another Spanish bank bailout. To pile on with more bad news, China and India had very soft economic numbers and one analyst lowered AAPL estimates.

April PPI came in with a drop of 0.2%, better than the flat to off 0.1%. The Core rate (excluding food and energy) came in as expected showing a rise of 0.2%

Remember Mom Sunday.