Blogging Options: CBOE Morning Update

Volatility as an asset class

Ciena (CIEN) is up $2.03 to $17.07 in the premarket after the networking-equipment company recorded strong revenue and margins. Overall option implied volatility 54 is near its 26-week average of 52.

Smithfield Foods (SFD) is higher by $1.00 to $23.30 in the premarket after the protein provider reported Q3 adjusted EPS 69c, consensus 51c. Overall option implied volatility 52 is near its 26-week average of 37.

Dell (DELL) is up 7c to $14.39 in the premarket after the company confirmed Carl Icahn has taken a substantial position. Overall option implied volatility of 27 is above its 3-week average of 16.

CBOE S&P 500 BuyWrite Index (BXM) closed at $935.52; above its 10-day moving average of 925.03 and above its 50-day moving average of 918.27. www.cboe.com/BXM

CBOE Put Index hit a record high yesterday

CBOE Volatility Index (VIX) closed at 13.53, below its 10-day moving average of 15.18, and its 50-day moving average is 14.46.

Calls with increasing volume at CBOE:

SPY 4/20/2013 153 14K contracts
FXI 5/18/2013 37 11K
ASTX 7/20/2013 4 9K
VXX 3/16/2013 27 9K
MTG 3/16/2013 5 8K

Puts with increasing volume at CBOE:

SPY 4/20/2013 153 14K contracts
FXI 5/18/2013 37 11K
ASTX 7/20/2013 4 9K
VXX 3/16/2013 27 9K
MTG 3/16/2013 5 8K

 February employment report. Weekly Claims (seasonally adjusted were slightly better than consensus). Q4 Non-Farm Productivity fell, Jan Trade Deficit widened. S&P Futures up 3 points pre-market, Employment report before the bell tomorrow morning.