Blogging Options: CBOE Morning Update

Volatility as an asset class

Qualcomm (QCOM) is up $1.37 to $68 after the first hour of trading, after announcing a $5B stock repurchase program to replace the prior $4B stock repurchase program, which had $2.5B of repurchase authority remaining and increasing its quarterly dividend by 40%. Overall option implied volatility of 23 is below its 26-week average of 27.

GM (GM) has rallied from pre-market softness to $27.40, a gain of $0.31. The auto manufacturer standing behind it’s decision to keep Opel, the WSJ reports. Overall option implied volatility of 30 is below its 26-week average of 32.

Walgreen (WAG) is down $1.18 to $40.59 after the retailer reported February sales of $5.75B, a decrease of 2.2% from $5.88B for the same month in fiscal 2012. Overall option implied volatility of 21 is near its 26-week average.

CBOE S&P 500 BuyWrite Index (BXM) closed at $931.17; above its 10-day moving average of 923.25 and above its 50-day moving average of 918.03. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.01 yesterday, and is near 13.60, off 0.41. below its 10-day moving average of 15.18, and its 50-day moving average of 14.62.

SPDR S&P 500 ETF Trust (SPY) is up $1.38 to 154.30 as Dow Jones Industrial closed near its record high.
 
Calls with increasing volume at CBOE Monday:

SPY 3/16/2013 152 15K contracts
MO 1/18/2014 35 14K
MU 7/20/2013 9 6K
BAC 3/8/2013 11.5 5K
 
Puts with increasing volume at CBOE:

SPY 3/16/2013 151 15K contracts
VXX 5/18/2013 16 15K
OIH 4/20/2013 38 8K

New record high in the DJIA. Druckenmiller says rally in “7th or 8th inning”, VIX level doesn’t seem to support that. We’ll see…