Blogging Options: CBOE Morning Update

Volatility as an asset class

J.C. Penney (JCP) is down $3.36 to $17.80 in the premarket after a wide Q4 EPS miss, reporting Q4 SSS were down 31.7% and an uncertain outlook. Overall option implied volatility of 158 is above its 26-week average of 60.

Sears Holdings (SHLD) is up $1.51 to $48.98 in the premarket after reporting Q4 adjusted EPS $1.12, compared to consensus 98c. March overall option implied volatility of 56 is above its 26-week average of 49.

Groupon (GRPN) is offn $1.49 to $4.49 in the premarket after its Q4 earnings, Q1 revenue guidance missed estimates. March call option implied volatility is at 104, April is at 73, May at 75; compared to its 26-week average of 74.

MSCI Italy Index (EWI) is recently down 10c to $12.43 in the premarket as an economic crisis increases in Italy. Overall option implied volatility of 30 is near its 26-week average of 32.

CBOE S&P 500 BuyWrite Index (BXM) closed at $925.66; above its 10-day moving average of 922.91 and above its 50-day moving average of 916.55. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.73, above its 10-day moving average of 14.50, and its 50-day moving average of 14.71.

SPDR S&P 500 ETF Trust (SPY) is recently up 25c to 152.16 as German stocks rose for the second day in a row and Japanese stocks rallying.

Calls with increasing volume at CBOE:

SPY 3/16/2013 156 45K contracts
WFM 3/16/2013 92 16K
EWW 4/20/2013 72 13K
PCS 4/20/2013 12 10K
ENDP 4/20/2013 35 9K
S 4/20/2013 6 9K
ELN 7/20/2013 11 9K 

Kohls (KSS) off on a revenue disappointment.

Q4 GDP rose at a 0.1% rate, the slowest gain in two years. Italso missed on Street expectations.

Unemployment Report next Friday, March 8th, not tomorrow.