Volatility as an asset class
Ziopharm (ZIOP) is down $3.22 to $1.92 after announcing that its Phase 3 trial of palifosfamide for the treatment of metastatic soft tissue sarcoma in the first-line setting did not meet its primary endpoint. Overall option implied volatility of 209 is above its 26-week average of 122.
United States Oil Fund (USO) is trading up $0.37 to $34.22 as WTI trades above $95. Overall option implied volatility of 15 is below its 26-week average of 26.
Sonic (SONC) is higher by $0.67 to $12.40 after the drive in restaurant chain reported Q2 earnings rose as lower costs offset lower revenue. April call option implied volatility is at 34, May and June is at 29; compared to its 26-week average of 34.
Stocks that are expected to have elevated option volume today; RHT BAC VOD BBRY FB SIRI
CBOE S&P 500 BuyWrite Index (BXM) closed at $938.26; above its 10-day moving average of 938.32 and its 50-day moving average of 927.24. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 13.74, above its 10-day moving average of 12.84, and its 50-day moving average of 13.50. www.cboe.com/VIX.
SPDR S&P 500 ETF Trust (SPY) is recently up 37c to $155.31 in the premarket as Cyprus banks are expected to open on Thursday.
Calls with increasing volume at CBOE Monday:
- SPY 3/28/2013 15535K contracts
- XLK 6/22/2013 32 30K
- LCC 1/17/2015 15 20K
- CSCO 7/20/2013 24 12K
- MU 4/20/2013 10 12K
- MPEL 4/20/2013 22 10K
- AAPL 3/28/2013 470 8K
Mixed bag on economic numbers this morning. Feb. Durable Goods look better than expected, but X-Transports it dropped 0.5% (+0.5% expected). Home Sales fell slightly but home prices up fractionally.