Blogging Options: CBOE Morning Update 4.24.13

Volatility as an asset class

Boeing (BA) is up $3.00 to $91.63 in the pre-market after the aerospace conglomerate reported a Q1 profit increase of 20% on lower costs. Overall option implied volatility of 24 is above its 26-week average of 22.

Apple (AAPL) is down $13,62 (3.3%) to $392.50 in the premarket after lowering June quarter guidance. The April 405 weekly straddle priced was priced for a 13% move into the release of Q2 results and guidance.  Several firms have lowered rating and/or price target.

VIX methodology for Apple $VXAPL @ 43.28, near 10-day MA of 40.28.

VMware (VMW) is down $2.54 to $73.16 in the premarket after the software developer for the cloud forecast less than expected Q2 revenue. Overall option implied volatility of 40 is above its 26-week average of 36.

Whirlpool (WHR) is off $0.90 to $121.10 in the premarket after the household appliance manufacturer reported sales declined 2.3% to $4.2B. Overall option implied volatility of 34 is near its 26-week average of 33.

Sprint (S) is flat at $7.12 in the premarket after the wireless carrier said the Q1 average revenue per contract user increased. Overall option implied volatility of 23 is near its 26-week average.

VIX methodology for iShares Silver Trust (VXSLV) closed at 38.09; above its 50-day moving average of 27.01.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.56, above its 50-day moving average of 31.94.

Options expected to be active on open; AAPL PG F EMC VMW GLW WHR AMZN S T JNPR

CBOE S&P 500 BuyWrite Index (BXM) closed at $955.87; above its 10-day moving average of 948.27 and above its 50-day moving average of 937.18. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.48, below its 10-day moving average of 14.47, and its 50-day moving average of 13.71. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is recently up 14c to $157.92 as corporate earnings improved investor sentiment.

Calls with increasing volume at CBOE:

SPY 4/26/2013 158 23K contracts
OXY 5/18/2013 80 13K
PG 4/26/2013 85 11K
DNDN 5/18/2013 5 6K

Puts with increasing volume at CBOE:

SPY 5/18/2013 157 15K contracts
VXX 5/18/2013 18 10K
XOP 6/22/2013 53 10K

PG off $2 pre-market with lower earnings.  F beats by $0.04.

March Durable Goods report with a huge drop, off 5.7% (Feb revised + 5.7% down to + 4.3%).  Biggest drop since August ’12. X-Transports -1.4%.  Futures giving up pre-market gains.