Blogging Options: CBOE Morning Update 4.16.13

Volatility as an asset class

VIX methodology for iShares Silver Trust (VXSLV) closed at 54.92; above its 100-day moving average of 25.37.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 45.41, above its 200-day moving average of 29.65.

Johnson & Johnson (JNJ) is up $1.20 to $82.90 in the premarket after reporting Q1 sales of $17.5B an increase of 8.5% compared to Q1 2012. Overall option implied volatility of 15 is near its 26-week average of 14.

Coca-Cola (KO) is higher by $1.16 to $41.25 in the premarket on 4% Q1 global volume growth. Overall option implied volatility of 18 is above its 26-week average of 15.

Goldman Sachs (GS) is up 94c to $147 in the premarket after reporting Q1 EPS $4.29, compared to consensus $3.88. Overall option implied volatility of 27 near its 26-week average of 26.

VIX methodology for Goldman Sachs (VXGS) closed at 30.11, above 50-day moving average of 26.95.

Options expected to be active on open; HCA GS KO GLD SLV NTGR C BLK YHOO

CBOE S&P 500 BuyWrite Index (BXM) closed at $943.16; above its 10-day moving average of 946.72 and above its 50-day moving average of 934.57. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 17.27, above its 10-day moving average of 13.47, and its 50-day moving average of 13.52. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is recently up $1.00 to $156.12 as gold rebounded 2% the day after falling to a two-year low.

Calls with increasing volume at CBOE:
S 1/18/2014 5 39K contracts
SPY 4/20/2013 157 33K
EA 6/22/2013 19 18
GLD 6/22/2013 150 10K
WMB 8/17/2013 42 9K

Puts with increasing volume at CBOE:
IWM 5/18/2013 82 60K contracts
SPY 4/20/2013 155 34K
QQQ 5/18/2013 69 22K
CTIC 6/22/2013 1 20K
S 1/18/2014 10 19K

Blackrock’s earnings slightly better than expected.  March Housing Starts at 1mm beat 940k estimates.  Single Family starts dropped and rental units rose, so headline might not be as rosy as thought. March CPI off 0.2% (flat expected) after 0.7% jump last month.
VIX Futures volume had record day yesterday, as 499,995 contracts traded, This smashed the old record set two months ago of ~303k.
VIX option volume came within a whisker of an all-time day, with 1,390,688 contracts traded (short of 1,392,621 on busiest day).
Today is last day to trade April VIX, it expires tomorrow morning.