Blogging Options: CBOE Morning Update

Volatility as an asset class

Dell (DELL) is up 44c to $14.50 in the premarket after the Board of Dell announced that the “go-shop” period provided for between the company and entities owned by Michael Dell and investment funds affiliated with Silver Lake Partners, has elicited two alternative acquisition proposals. One proposal was submitted by a group affiliated with Blackstone (BX) and the other by entities affiliated with Carl Icahn. Overall option implied volatility of 19 is above compared to its 5-week average of 16.

Apollo Group (APOL) is higher by $1.06 to $18.11 in the premarket after the for profit educator reported Q2 ex-items EPS 34c, compared to consensus 18c. Overall option implied volatility of 70 is above its 26-week average of 45.

Dollar General (DG) is up $1.08 to $51.51 in the premarket after the discount retailer reported Q4 earnings rose 8.5%. Overall option implied volatility of 34 is above its 26-week average of 26.

CBOE S&P 500 BuyWrite Index (BXM) closed at $939.30; above its 10-day moving average of 938.29 and its 50-day moving average of 926.80. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.57, above its 10-day moving average of 12.62, and its 50-day moving average of 13.49. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is recently up 68c to $156.28 in the premarket as Euro area finance ministers agreed to bail out Cyprus.

Calls with increasing volume at CBOE:

SPY 3/22/2013 155 17K contracts
SU 5/18/2013 32 16K
AAPL 3/22/2013 460 15K
MDLZ 4/20/2013 30 11K
VXX 3/28/2013 23 10K
DG 4/20/2013 46 10K

Cyprus and European officials have a tentative agreement, details vague. This could calm markets at open, European stocks up slightly on news. Consumer Confidence later in holiday shortened week.