Blogging Options: CBOE Morning Update

Volatility as an asset class

Toll Brothers (TOL) is down $1.60 to $35.30 after the homebuilder reported Q1 EPS 3c, compared to its consensus of 10c. Overall option implied volatility of 32 is below its 26-week average of 37.

Michael Kors (KORS) is off $1.84 to $63.00 after the specialty retailer filed to sell 25M ordinary shares for holders. Overall option implied volatility of 35 is below its 26-week average of 52.

Marriott (MAR) is unchanged at $40.83 after reporting Q4 EPS 56c, compared to consensus 55c. Overall option implied volatility of 21 is below its 26-week average of 25.

 
CBOE Volatility Index (VIX) closed at 12.31, below its 10-day moving average of 12.96, and its 50-day moving average is 14.74. It is currently at 12.50, up 0.19.

SPDR S&P 500 ETF Trust (SPY) is down 17c to 153.10 as the SPY remains near a five-year high.

Calls with increasing volume at CBOE Monday:

SPY 3/28/2013 154 23K contracts
PPHM 4/20/2013 2.5 21K
BAC 2/22/2013 12.5 15K
SHLD 1/17/2015 60 10K
SPY 3/16/2013 154 9K
AAPL 2/22/2013 460 5K

Housing Starts dropped 8.5% to 890k, CAT trading off ~1%.