Blogging Options: CBOE Morning Update 4.23.13

Volatility as an asset class

VIX methodology for iShares Silver Trust (VXSLV) closed at 36.04; above its 50-day moving average of 26.72.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.66, above its 50-day moving average of 31.60.

Netflix (NFLX) is up $40455 to $217.02 in the premarket after the movie-subscription company reported better than expected Q1 results. April weekly call option implied volatility is at 189, May is at 82, June is at 62; compared to its 26-week average of 55.

Swift Transportation Co. (SWFT) is up 87c to $14.44 in the premarket after the truck company recorded better than expected revenue. Overall option implied volatility of 59 is above its 26-week average of 47.

Texas Instrument (TXN) is higher by 14c to $34.95 in the premarket after the chip manufacturer reported Q1 profits rose 37%. Overall option implied volatility of 25 is near its 26-week average of 25.

ARM Holdings (ARMH) is up $3.86 to $44.10 in the premarket after the chip manufacturer reported better than expected Q1 results driven by royalties.  Overall option implied volatility 39 is above its 26-week average of 34.

Options expected to be active on open;  COH NOK ARMH NFLX AAPL FB AMZN

CBOE S&P 500 BuyWrite Index (BXM) closed at $952.26; above its 10-day moving average of 947.50 and above its 50-day moving average of 936.61. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.39, above its 10-day moving average of 14.41, and its 50-day moving average of 13.71. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 52c to $156.68 as corporate earnings improved investor sentiment.

Calls with increasing volume at CBOE:

SPY 5/18/2013 155 27K contracts
INTC 8/17/2013 24 20K
LVS 5/18/2013 55 10K
MSFT 7/20/2013 32 10K
EEM 5/18/2013 40 8K

Puts with increasing volume at CBOE:

SPY 5/18/2013 155.0000 39K contracts
IWM 5/3/2013 88 13K
QQQ 5/18/2013 69 12K
LYB 9/21/2013 55 9K

Du Pont beat as well as United Technologies.  Some Asian and European economic news soft this morning.

No Comments
Marty Kearney

Mr. Kearney began his long association with the CBOE when he became an independent Market Maker in early 1981. Mr. Kearney traded options full time on the trading floor until 1992 and periodically thereafter until 1996. In early 1992 he became a founding partner and Registered Options Principal of a brokerage firm based in…

Tags

, ,