Blogging Options: CBOE Morning Update

Volatility as an asset class

Boeing (BA) is flat pre-market after the FAA gave an initial OK to the company’s fixes for the troubled 787 battery. Overall option implied volatility of 17 is below its 26-week average of 23. RyanAir also bought more 737’s.

Dole Food (DOLE) is down $0.73 to $11.00in the premarket after reporting Q4 EPS (59c), compared to consensus (2c). Overall option implied volatility of 47 is above its 26-week average of 41.

Walgreen (WAG) is up $0.55 to $41.59 in the premarket after being upgraded to Buy from Neutral at UBS. Overall option implied volatility of 20 is below its 26-week average of 22.

CBOE and C2 Plan to launch mini-options on March 18 for AAPL, AMZN, GOOG, GLD and SPY

  • Mini-options contracts represent 10 shares of the underlying security versus 100 shares for standard-sized options contracts.
  • Mini-options contracts trade under a different trading symbol than standard-sized options contracts. Mini-options carry the number “7” at the end of the security symbol. For example, the Apple mini-options symbol is AAPL7.

CBOE S&P 500 BuyWrite Index (BXM) closed at $937.87; above its 10-day moving average of 932.99 and its 50-day moving average of 922.30.

CBOE Volatility Index (VIX) closed at 12.27, below its 10-day moving average of 13.60, and its 50-day moving average of 13.95.

SPDR S&P 500 ETF Trust (SPY) is recently down 36c to 155.32 Chinese stocks at two- month lows.

Calls with increasing volume at CBOE:

  • SPY 3/28/2013 156 28K contracts
  • BAC 3/16/2013 12 20K
  • XLF 9/21/2013 19 10K
  • EEM 6/22/2013 45.5 9K
  • AAPL 3/16/2013 440 9K
  • SQQQ 4/20/2013 35 8K
  • WM 3/16/2013 37 8K

Puts with increasing volume at CBOE:

  • XLF 4/20/2013 17 90K contracts
  • SPY 3/28/2013 147 28K
  • VXX 3/16/2013 20 17K

February Seasonally Retail Sales for February beat expectations, but non-seasonally sales actually dropped. Chinese markets now down for the year.
White or black smoke for the market today?