Blogging Options: CBOE Morning Update

Volatility as an asset class

Procter & Gamble (PG) is down $0.30 to $76.48 in the premarket after the company lowered FY13 EPS guidance. March, April and July call option implied volatility of 11 is below its 26-week average of 14.

Agilent (A) is off $2.00 to $42.58 in the premarket after the testing-equipment maker reported Q1 results fell 22%. Overall option implied volatility of 30 is near its 26-week average of 29.

CBS (CBS) is down $0.34 to $42.60 in the premarket after reporting net income rose 6% in Q4 on higher revenue. Overall option implied volatility of 33 is above its 26-week average of 28.

CBOE Gold ETF Volatility Index (GVZ) closed at 14.72, above its 50-day MA of 13.78; gold is trading flat at $1626

CBOE Volatility Index (VIX) closed at 12.66, below its 10-day moving average of 13.24, and its 50-day moving average of 14.92.

Calls with increasing volume at CBOE:

SPY 2/16/2013 153 41K contracts
MDY 3/16/2013 205 10K
AAPL 2/16/2013 470 9K
WM 3/16/2013 37 7K
CSCO 2/16/2013 21 6K
AIG 5/18/2013 42 6K

SPDR S&P 500 ETF Trust (SPY) is flat in the premarket ahead of options expiration day. The market has been in a narrow range since the S&P first passed the 1500 level a couple of weeks ago. 

Markets closed Monday. Surprising drop in Industrial Production (-0.1% – +0.2 was expected) may put damper on long-weekend trading. Will trading desks be following meteor passing by earth at 1:23 CDT or will they be trading?

For those in NY City, visit the CBOE booth and find the speakers schedule at Traders Expo NY, Marriott Marquis on Monday and Tuesday. Jim Bittman and Russell Rhoads will be presenting and answering questions. Admission is free.