Blogging Options: CBOE Afternoon Recap

Volatility as an asset class:

Radware (RDWR) closed lower by $8.51 to $29.07 on 3.6 mm shares after the manufacturer of security systems for virtual and internet –based cloud data centers, said results will miss its previous estimates. April call option implied volatility is at 35, May and September is at 37; below its 26-week average of 39.

Facebook (FB) closed up $0.32 to $27.39 after the stock was upgraded to Buy from Hold at Argus, citing its new Facebook Home application as potential catalyst for the company’s mobile presence. Overall option implied volatility of 39 is below its 26-week average of 50.

Proshares Ultra Short 20 Year Treasury ETF (TBT) was down $2.53 to $60.10.   April put option implied volatility is at 26, May is at 27, June is at 28; compared to its 26-week average of 27.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) closed lower by 4.61 to 1268.76 (rallying 10 points off it’s low), below its 10-day moving average of 1272.29 and its 50-day moving average of 1246.01.


CBOE Volatility Index (VIX) closed up 0.03 to 13.92. That was near the daily low, far below the 15.64 opening. VIX May 17 and 22 calls are active on total option volume of 308K contacts at the CBOE.

S&P 100 Options (OEX) rallied in the last half-hour and closed down 3.48 to $699.49 on March Non-Farm Payrolls growing 88K vs. 190K expected.  N Korea also a factor.


For the week the SPX was off 1% and the NASDAQ off 1.9%.  10-year closed 1.71% after trading lower most of the session.


CBOE traded 4.1 million options Friday.  491k SPX (381k Weekly’s), 517k VIX contracts changed hands. 56k mini’s traded, and VIX Futures showed a volume of 186k.