Volatility as an asset class
Boeing (BA) is active in the premarket as 787 Dreamliner’s resume commercial service. Overall option implied volatility 22 is at its 26-week average of 22.
Conceptus (CPTS) is up $5.15 to $31.05 in the premarket after Bayer HealthCare (BAYRY) announced the acquisition of the contraceptive company for approximately $1.1B representing $31.00 per share in cash. Overall option implied volatility of 37 is near its 26-week average.
J.C. Penney (JCP) is higher by $0.70 to $17.68 in the premarket into announcing a $1.75B term loan with Goldman Sachs. Overall option implied volatility of 61 is at its 26-week average of 61.
United States Oil Fund (USO) is recently closed at $33.12 as WTI Oil trades up 0.24% to $93.22 a barrel. Overall option implied volatility of 21 is below its 26-week average of 25.
VIX methodology for iShares Silver Trust (VXSLV) closed at 36.40; above its 50-day moving average of 27.60.
CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 41.62, above its 50-day moving average of 32.85.
Options expected to be active on open; JPM HLF HIG BA LVS CMP CPTS JCP
CBOE S&P 500 BuyWrite Index (BXM) closed at $956.85; above its 10-day moving average of 949.63 and above its 50-day moving average of 938.94. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 13.61, below its 10-day moving average of 14.89, and its 50-day moving average of 13.76. www.cboe.com/VIX
Calls with increasing volume at CBOE:
XLF 5/18/2013 19.0000 65K contracts
SPY 5/18/2013 160 16K
NBG 8/17/2013 1 15K
DAL 5/18/2013 17 13K
VXX 5/3/2013 34 9K
EEM 7/20/2013 44 9K
AAPL 4/26/2013 415 9K
SPDR S&P 500 ETF Trust (SPY) is recently up $0.40 to $158.64 as SPY headed toward six straight months of gains.
Income and Spending up 0.2% in March.
Recap of the Options Industry Conference celebrating the 40th Anniversary of the Options Industry mid-day.