Blogging Options: CBOE Morning Update

Volatility as an asset class

Lululemon Athletica (LULU) is down $5.34 to $60.50 in the premarket after the company cut its Q1 revenue and same-store-sales view on a shortage of black Luon yoga pants after some of them were found to be overly sheer. Overall option implied volatility of 43 is near its 26-week average of 42.

Electronic Arts (EA) is up $0.29 to $19 in the premarket after video-game maker announced that its CEO was resigning and the company said it sees earnings and revenue for the current quarter at the low end of its previously issued guidance. Overall option implied volatility of 36 is below its 26-week average of 39.

Walgreen (WAG) is recently up $0.57 to $43 in the premarket after the retailer reported Q2 adjusted EPS 96c, consensus 94c. Overall option implied volatility of 20 is near its 26-week average of 21.

Mini-options trading at CBOE; AAPL7, AMZN7, GOOG7, GLD7 and SPY7.

CBOE S&P 500 BuyWrite Index (BXM) closed at $937.25; below its 10-day moving average of 937.62 and above its 50-day moving average of 925.03.

CBOE Volatility Index (VIX) closed at 13.36, above its 10-day moving average of 12.42, and below its 50-day moving average of 13.50. VIX down 26% for year.

SPDR S&P 500 ETF Trust (SPY) is up $0.45 to $155.42 into a vote in Cyprus that could lead the country into default.

Calls with increasing volume at CBOE:

  • GLD 5/18/2013 160 14K contracts
  • COP 3/22/2013 60 12K
  • FCX 5/18/2013 34 12K
  • SPY 4/20/2013 154 11K
  • PBR 5/18/2013 21 10K
  • VOD 1/18/2014 32 9K

Mini-options got off to a good start yesterday. Over 21,000 contracts traded. In economic news, Housing Starts at 917k beat estimates slightly (915k).