Blogging Options: CBOE Morning Update

Volatility as an asset class

Costco (COST) is up $2.00 to $104.44 on Q2 earnings rising 39% as revenues increased 8.3% to $24.8B. Overall option implied volatility of 18 is below its 26-week average of 19.

Salesforce.com (CRM) is down $3.54 to $182.40 after the web-based business-software company proposed $1B offering of convertible senior notes. Overall option implied volatility of 31 is below its 26-week average of 37.

Urban Outfitters (URBN) is off $0.20 to $41.30 in the first half hour of trading after the clothing retailer reported its Q4 profit more than doubling as sales and margins improved. March call option implied volatility is at 65, April is at 35, June is at 32; compared to its 26-week average of 33.

Yum Brands Inc. (YUM) is higher by $1.90 to $69.75 after the company said its KFC business showed signs of improvement in China last month. Overall option implied volatility of 27 is above its 26-week average of 25.

CBOE S&P 500 BuyWrite Index (BXM) closed at $937.92; above its 10-day moving average of 930.89 and its 50-day moving average of 921.50.

CBOE Volatility Index (VIX) closed at 11.56, below its 10-day moving average of 14.07, and its 50-day moving average of 14.09. VIX was up 0.21 to 11.77 in eaerly trading today.

CBOE Volatility Index close of at 11.56 is below a close of 43.61 on March 11, 2009.

SPX and DJIA slightly higher, NASDAQ off fractionally after the S&P closed at a record high for the fifth straight day.

Calls with increasing volume at CBOE Monday:

  • SPY 3/16/2013 155 34K contracts
  • AMD 4/20/2013 2.5 9K
  • F 3/22/2013 13 8K
  • XLF 3/16/2013 18 6K
  • AAPL 3/16/2013 450 6K

Puts with increasing volume at CBOE:

  • SPY 3/16/2013 155 39K contracts
  • SCHW 1/18/2014 15 10K
  • BAC 3/16/2013 12 9K
  • T 4/20/2013 36 8K
  • VXX 3/16/2013 20 8K

Two good CBOE blogs yesterday afternoon on VIX movement and what it could mean