Blogging Options: CBOE Morning Update

Volatility as an asset class

Ulta Salon (ULTA) is down $12.06 to $76.30 in the premarket after the beauty-products retailer’s Q1 forecast fell short of analyst expectations. Overall option implied volatility of 39 is above its 26-week average of 36.

Aeropostale (ARO) is lower by $1.01 to $13.50 in the premarket into the company saying “We anticipate a challenging first quarter as a result of expected margin pressures from Holiday carryover inventory, and the impact of a weak macroeconomic environment.” Overall option implied volatility of 57 is above its 26-week average of 52.

BB&T (BBT) is off $0.92 to $30.81 in the premarket after the bank had their capital plans rejected by the Federal Reserve. Overall option implied volatility of 17 is below its 26-week average of 21.

CBOE S&P 500 BuyWrite Index (BXM) closed at $939.38; above its 10-day moving average of 935.65 and its 50-day moving average of 924.

CBOE Volatility Index (VIX) closed at 11.30, below its 10-day moving average of 12.89, and its 50-day moving average of 13.59.

SPDR S&P 500 ETF Trust (SPY) is recently down 66c to 156.06 after the Federal Reserved announced another round of stress tests results for U.S. banks.

March front month equity options expire, today, March 15, 2013.

Calls with increasing volume at CBOE:

  • SPY 3/16/2013 156 21K contracts
  • RAD 4/20/2013 2 17K
  • XLF 9/21/2013 19 10K
  • VXX 3/16/2013 21 10K
  • ETFC 1/17/2015 17 10K
  • BAC 3/16/2013 12 8K

Puts with increasing volume at CBOE:

  • MS 3/16/2013 22.5 42K contracts
  • SPY 3/16/2013 155 14K
  • VXX 4/20/2013 18 12K
  • CX 1/18/2014 10 10K
  • AAPL 3/16/2013 430 7K

CPI was up 0.7%, Core Rate (X-Food & Energy) higher by 0.2%
feb Industrial Production jumped to a gain of 0.7%, versus flat in January.

The Federal Reserved announced another round of stress tests results for U.S. banks. S&P futures and other indices up fractionally on economic news.