Blogging Options: CBOE Morning Update

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.

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.

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.