Blogging Options: CBOE Morning Update 4.29.13

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.