Blogging Options: CBOE Morning Update

Volatility as an asset class

Staples (SPLS) is down $0.90 to $12.38 as the office product retailer sees FY13 continuing operations EPS $1.30-$1.35, compared to consensus $1.43. Overall option implied volatility of 40 is near its 26-week average.

Microsoft (MSFT) is down $0.35 to $28 after The European Commission imposing a $731M fine on the company for failing to comply with its commitments to enable users to easily choose their preferred web browser. March call option implied volatility is at 22, April is at 17, May is at 16; compared to its 26-week average of 22.

Nutrisystem (NTRI) opened slightly lower after it reduced its 2013 earnings per share outlook to a range of 23 cents to 33 cents per share, versus consensus of 37 cents. Overall option implied volatility of 40 is above its 26-week average of 36.

CBOE S&P 500 BuyWrite Index (BXM) closed at $934.64; above its 10-day moving average of 923.72 and above its 50-day moving average of 918.64. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed yesterday at 13.48, is off 0.10 to 13.38. This is below its 10-day moving average of 15.30, and its 50-day moving average of 14.55.
 

 
Calls yesterday with increasing volume at CBOE:

SPY 3/28/2013 155 28K contracts
EWT 4/20/2013 14 9K
 
Puts with increasing volume at CBOE:

IWM 3/28/2013 85 12K contracts
SPY 3/16/2013 151 32K 

SDJIA and SPX slightly higher while NASDAQ off fractionally, on signs the U.S. economy is improving and expectations for more central bank support. ADP Report slightly better than expected.