Blogging Options: CBOE Morning Update

Volatility as an asset class

Boston Beer (SAM) is up $15.77 to $130 in the premarket after raising FY12 EPS view to $4.30-$4.60 from prior view $3.80-$4.20. Overall option implied volatility of 33 is near its 26-week average.

Ciena (CIEN) is higher by $0.17 to $15.74 after reporting Q4 adjusted EPS (7c), consensus (6c). Overall option implied volatility of 56 is above its 26-week average of 52.

Pier 1 Imports (PIR) closed at $19.07 into reporting Q3 EPS 25c, compared to consensus 24c. Overall option implied volatility of 40 is near its 26-week average of 40.

CBOE Volatility Index-VIX closed at 15.95, below its 10-day moving average of 16.11, and its 50-day moving average is 16.52.

Calls with increasing volume at CBOE;

SPY 2/16/2013 152 18K contracts

AIG 5/18/2013 40 18K

PRA 12/22/2012 80 17K

BAC 12/22/2012 15K

GLD 12/22/2012 165 11K
KEY 1/18/2014 10 11K

SPDR S&P 500 ETF Trust (SPY) is recently down 7c to $143.47 in the premarket a day after the Fed kept funds rates unchanged at 0%-0.25%. Other index futures mixed. Weekly Claims dropped by 29k – lowest level since early October. PPI showed a drop of 0.8% and X-Auto was pretty flat. NIKKEI higher but rest of Asian stocks closed lower. 10-year at 1.70%