Blogging Options: CBOE Morning Update 3.28.2013

Volatility as an asset class

Blackberry (BBRY) is down $0.40 to $14.16 in the premarket after posting Q4 earnings of 29c on revenue of $2.7B with limited guidance. April call option implied volatility is at 102, May is at 80; above its 26-week average of 71.

Red Hat (RHT) is off $3.53 to $47 in the premarket after the software company on less than expected guidance.  April call option implied volatility is at 51, May is at 41, June is at 38, September is at 36; compared to its 26-week average of 37.

Mosaic (MOS) is up $1.12 to $9.80 in the premarket after the fertilizer company reported Q3 EPS with items 81c, compared to consensus 88c. April call option implied volatility is at 28, June and September is at 25; compared to its 26-week average of 29.

Options expected to be active on open; AAPL MOS  RPRX CLF RHT FIVE BBRY

CBOE S&P 500 BuyWrite Index (BXM) closed at $942.86; above its 10-day moving average of 939.28 and its 50-day moving average of 928.29. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.15, above its 10-day moving average of 13.02, and its 50-day moving average of 13.40. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is recently up 3c to $156.22 in the premarket as European stocks were mixed as Cyprus banks open.

Calls with increasing volume at CBOE:
SPY 3/28/2013 156 22K contracts
FCX 5/18/2013 35 10K
VXX 9/21/2013 30 8K
AAPL 3/28/2013 455 7K
BAC 4/20/2013 13 6K
IWM 4/5/2013 93 6K
FB 4/20/2013 27 6k

US stock futures looked pretty good early on, as there was no panic with Cyprus opening banks for first time in 10 days.  BBRY saw the shares spike higher after announcing a profit, only to be whacked as the companies conference call detailed their results.

Final Q4 2012 GDP showed a gain of 0.4% (+0.5% expected), slowest in 8 quarters. Weekly Claims rose 16k (expected to be flat) and last week’s revised higher by 5k.

End of Quarter “window dressing”.  Markets closed tomorrow. Most action expected in first half of today’s trading.