Blogging Options: CBOE Morning Update

Volatility as an asset class

Salesforce.com (CRM) is up $6.78 to $176 in the premarket after the web-based business -software company raised its full-year revenue forecast. Overall option implied volatility of 41 is above its 26-week average of 37.

Gap (GPS) is higher by $1.33 to $34.25 in the premarket on Q4 profit increasing 61% as same-store growth boosted margins. Overall option implied volatility of 43 is above it 26-week average of 32.

Groupon (GRPN) is up $0.17 to $4.70 in the premarket after the company announced it’s replacing CEO Andrew Mason. Overall option implied volatility of 67 is below its 26-week average of 74.

CBOE S&P 500 BuyWrite Index (BXM) closed at $925.64; above its 10-day moving average of 922.73 and above its 50-day moving average of 917.01. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 15.51, above its 10-day moving average of 14.75, and its 50-day moving average of 14.68.

 
Calls with increasing volume at CBOE:

BAC 1/18/2014 12 20K contracts
SPY 3/1/2013 152 19K
DELL 4/20/2013 13 17K
TXN 1/18/2014 35 15K
GLD 3/16/2013 170 9K 

US stock futures drifting lower as investors look ahead to U.S. government budget cuts that are expected to take effect today. Asian stock lower, European stocks off ~1%. Metals higher, Oil down. Best Buy (BBY) revenues higher, up $1 pre-market.

January Personal Inome off 3.6%, off 2.5% expected (up 2.6% in December), PCE unchanged

Jan. Spending up 0.2% (+0.1% December)