Blogging Options: CBOE Morning Update

Volatility as an asset class

Home Depot (HD) is up $1.22 to $65.55 in the premarket on better than expected Q4 results and conservative 2013 guidance. Also a dividend hike. March put option implied volatility is at 26, April is at 24, May and August is at 23; compared to its 26-week average of 22.

Apollo Group (APOL) is down $0.66 to $17.00 in the premarket after the for profit educator said the group that accredits its University of Phoenix recommends the university be placed on probation. March weekly put option implied volatility is at 60, March and April is at 51; above its 26-week average of 45.

Caesar’s Entertainment (CZR) is down $1.01 to $10.70 in the premarket on a wider than expected loss as superstorm Sandy contributed to the casino operator’s revenue shortfall. March put option implied volatility is at 109, April is at 98, June is at 90; above its 26-week average of 73.

Autodesk (ADSK) is down $0.81 to $35.79 in the premarket after the design software company reported Q4 earnings rose 3.5%, but lowers Q1 guidance. March put option implied volatility of 46, April is at 36, July is at 37; compared to its 26-week average of 37.

CBOE S&P 500 BuyWrite Index (BXM) closed at $910.46; below its 10-day moving average of 924.12 and its 50-day moving average of 915.83. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 18.90, above its 10-day moving average of 13.90, and its 50-day moving average of 14.72.

Calls with increasing volume at CBOE:

SPY 3/1/2013 152 59K contracts
EEM 3/16/2013 47 20K
QQQ 3/28/2013 71 15K
BAC 3/16/2013 13 14K
NWSA 7/20/2013 30 10K

SPDR S&P 500 ETF Trust (SPY) is up 59c to 149.57 in the premarket after SPY sold off the most in three-months. Other US indices fractionally higher. Macy’s (M) up $1.60 to $40.12 with good earnings. Italian election uncertainty pushing yields in most European countries higher.

Record VIX Futures trading yesterday (read the two previous posts from Russell Rhoads and Mark Sebastian).