Blogging Options: CBOE Morning Update

Volatility as an asset class

Men’s Wearhouse (MW) is up $3.92 to $32.99 in the premarket after the apparel retailer reported Q4 earnings rose 25%. Overall option implied volatility of 56 is above its 26-week average of 37.

E-Trade (ETFC) is down $0.84 to $11.00 in the premarket on its largest shareholder, Citadel LLC, selling its 9.6% stake in the company. Overall option implied volatility of 30 is below its 26-week average of 38.

Apple (AAPL) is higher by $4.40 to $432.80 in the premarket into Samsung Electronics launching a new flagship smartphone. BTIG raised it’s rating on AAPL to buy from Neutral. Overall option implied volatility of 30 is below its 26-week average of 33.

CBOE S&P 500 BuyWrite Index (BXM) closed at $938.46; above its 10-day moving average of 934.27 and its 50-day moving average of 923.25. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 11.83, below its 10-day moving average of 13.32, and its 50-day moving average of 13.73.

Calls with increasing volume at CBOE:

  • SPY 3/16/2013 156 24K contracts
  • MHP 5/18/2013 50 13K
  • NBL 1/18/2014 130 12K
  • BAC 3/16/2013 12 11K
  • WFR 3/16/2013 5 11K
  • GLD 6/22/2013 165 10K

Puts with increasing volume at CBOE:

  • SPY 3/16/2013 155 14K contracts
  • VXX 3/16/2013 20 12K
  • EEM 5/18/2013 42 12K
  • NOK 4/20/2013 3.5 12K
  • IWM 4/20/2013 91 10K
  • AAPL 3/16/2013 425 7K

SPDR S&P 500 ETF Trust (SPY) is recently up 44c to 156.34 as European and Asian stocks finished higher.

Weekly Initial Claims were slightly lower than expected.
PPI +0.7% and Core (X-Food & Energy) +0.2% in line.