Blogging Options: CBOE Morning Update

Volatility as an asset class

Euro Currency Trust (FXE) is down 1.18 to 128.36 in the pre-market after Cyprus announced a tax on bank accounts. Overall option implied volatility of 8 is near its 26-week average.

CBOE Euro Currency Volatility Index (EVZ) closed at 8.39, below its 50-day moving average of 8.76. www.cboe.com/EVZ

MSCI Emerging Markets Index (EEM) is down $0.34 to $42.42. Overall option implied volatility of 19 is below its 26-week average of 21.

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) closed at $15.97, below its 26-week average of 17.46.

SPDR Gold Trust (GLD) is up $1.39 to $155.39 in the premarket as gold trades up 0.62% to $1,602.50. Overall implied volatility of 13 is below its 26-week average of 16.

The Euro STOXX 50 Index VSTOXX is recently up 4.18 to 19.85.

CBOE S&P 500 BuyWrite Index (BXM) closed at $941.15; above its 10-day moving average of 937.02 and its 50-day moving average of 924.56.

CBOE Volatility Index (VIX) closed at 11.30, below its 10-day moving average of 12.49, and its 50-day moving average of 13.53.

SPDR S&P 500 ETF Trust (SPY) is recently down $1.30 to $154.51 after Cyprus announcing a tax on bank accounts.

Calls with increasing volume at CBOE:

  • SPY 4/20/2013 160 31K contracts
  • IWM 4/20/2013 97 30K
  • BAC 1/18/2014 15 25K
  • QQQ 4/20/2013 69 24K
  • XLF 3/22/2013 18.5 20K
  • AAPL 3/16/2013 445 20K

US Stock futures are well off their overnight lows. DAX & CAC off over 1%, FTSE off 0.68%.
NIKKEI off 2.7% hardest hit of the Asian stocks.
US 10-Year yield drops from 2% to below 1.95%.
Stocks in the news show UTX up fractionally on an upgrade, and BA hurt with an Asian airline going with Airbus for a big plane order.

So the introduction of Mini-Options on the CBOE today being overshadowed by Cyprus. Watch the close today.