Blogging Options: CBOE Morning Update

Volatility as an asset class

Nike (NKE) is up $4.40 to $58 in the premarket on better than expected Q3 results and positive guidance. April put option implied volatility is at 23, May is at 20, July is at 19; compared to its 26-week average of 24.

Monster Beverage (MNST) is down $1.59 to $48.76 in the premarket after a Bloomberg report said a study suggested energy drinks may increase blood pressure and lead to erratic heartbeat. April put option implied volatility is at 34, May and June is at 42; below its 26-week average of 44.

Micron (MU) is up 58c to $9.65 as the DRAM and NAND chip manufacturer reported consolidated gross margin improved to 18% in Q2 of FY13 compared to 12% in Q1. April call option implied volatility is at 49 July and October is at 44; compared to its 26-week average of 46.

CBOE S&P 500 BuyWrite Index (BXM) closed at $935.55; above its 10-day moving average of 938.14 and its 50-day moving average of 926.33. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.99, above its 10-day moving average of 12.52, and its 50-day moving average of 13.59. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is up 37c to $154.72 in the premarket as Cyprus has been given more time to come up with a deal, giving investors more optimism that an agreement can be reached as the S&P inches approaches an all-time closing high.

Calls with increasing volume at CBOE Thursday:

  • SPY 3/22/2013 155 15K contracts
  • VXX 3/28/2013 23 14K
  • AAPL 3/22/2013 460 9K
  • BAC 3/28/2013 13 9K
  • RPRX 5/18/2013 10 8K

Darden Restaurants earnings came in a little better than expected. Nikkei off big as are many Asian stocks. Cyprus still dominating the news, that and the NCAA tournament.