Blogging Options: CBOE Morning Update

Volatility as an asset class

Oracle (ORCL) is down $2.77 to $33 in the premarket as Q3 revenue from new software license decreased. Overall option implied volatility of 30 is above its 26-week average of 24.

Tumi (TUMI) is off $2.24 to $21.60 in the premarket as the luggage maker’s results and guidance fell short of Wall Street expectations. Overall option implied volatility of 49 is above its 26-week average of 43.

Guess (GES) is down $1.80 to $25.15 in the premarket after the apparel company lowered its yearly view. Q4 Overall option implied volatility of 45 is above its 26-week average of 39.

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

CBOE S&P 500 BuyWrite Index (BXM) closed at $940.36; above its 10-day moving average of 938.22 and its 50-day moving average of 925.93. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.67, above its 10-day moving average of 12.43, and its 50-day moving average of 13.49. www.cboe.com/VIX.

US stock futures off slightly in the premarket as German manufacturing unexpectedly fell.

Calls with increasing volume at CBOE:

  • SPY 4/20/2013 160 34K contracts
  • ORCL 6/22/2013 40 19K
  • PCS 4/20/2013 9 14K
  • BAC 4/20/2013 13 12K
  • S 5/18/2013 10 10K
  • GM 1/18/2014 30 10K

Weekly Jobless Claims down fractionally. March Madness begins for real today.