Blogging Options: CBOE Morning Update

Volatility as an asset class

Lowe’s (LOW) is up $0.40 to $37.07 after reporting Q4 EPS 26c, compared to consensus 23c. March put option implied volatility is at 46, April is at 33, July is at 32; compared to its 26-week average of 28.

Barnes & Noble (BKS) is up $1.54 to $15.04 after Chairman Leonard Riggio disclosed that he notified the company’s board that he plans to propose to purchase all of the assets of the retail business of the company. Overall option implied volatility of 50 is near its 26-week average of 49.

Dillard’s (DDS) is down $2.78 to $82.14 after reporting Q4 Dillard’s reports Q4 adjusted EPS $2.87 on revenue of $2.11B. Overall option implied volatility of 33 is near its 26-week average.

CBOE S&P 500 BuyWrite Index (BXM) closed at $924.56; above its 50-day moving average of 915.68.

CBOE Volatility Index (VIX) closed at 14.17, above its 10-day moving average of 13.30, and below its 50-day moving average of 14.66.
SPDR S&P 500 ETF Trust (SPY) is higher by $0.75 to 152.64 in the premarket into Federal Reserve Chairman Ben Bernanke testifying on Capitol Hill on Tuesday.

Calls with increasing volume at CBOE:

SPY 2/22/2013 151 53K contracts
DOW 1/18/2014 45 46K
AAPL 2/22/2013 450 16K
XLF 6/22/2013 16 11K
QQQ 2/22/2013 67 9K
VOD 4/20/2013 26 9K 

DJIA opens above 14,000.