Blogging Options: CBOE Morning Update 4.30.13

Volatility as an asset class

Pfizer (PFE) is down $1.33 to $29.10 in the pre-market after the world’s largest drug maker reported lower than expected Q1 results and decreased its profit forecast. Overall option implied volatility of 19 is above its 26-week average of 16.

Buffalo Wild Wings (BWLD) is down $2.03 to $92.30 in the pre-market after the grill & bar restaurant company reported Q1 EPS of 87c, below consensus of 99c. May call option implied volatility is at 47, June is at 33, September is at 31, compared to its 26-week average of 35.

Newmont Mining (NEM) is off $0.50 to $33.53 in the pre-market after the gold producer reported Q1 profit decrease of 36%. Overall option implied volatility of 41 is above its 26-week average of 29.

Nuance (NUAN) is lower by $2.46 to $20.84 in the pre-market after the speech-software maker reported a Q2 loss and plans a $500M stock buyback. May call option implied volatility is at 60, June is at 42, July is at 40; compared to its 26-week average of 37.

VIX methodology for iShares Silver Trust (VXSLV) closed at 35.48; above its 50-day moving average of 27.80.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 41.16, above its 50-day moving average of 33.15.

Options expected to be active on open; JPM HLF MTU PFE SIRI RVBD

CBOE S&P 500 BuyWrite Index (BXM) closed at $959.14; above its 10-day moving average of 951.22 and above its 50-day moving average of 939.57. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.71, below its 10-day moving average of 14.54, and its 50-day moving average of 13.78. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down $0.20 to $159.10 on mixed international markets.

Calls with increasing volume at CBOE:

SPY 5/18/2013 160 22K contracts
EXPD 5/18/2013 40 17K
CSTR 7/20/2013 62.50 9K
MO 5/18/2013 39 7K

Some economic numbers at and after the opening.  European and Asian stocks mixed.  Energy futures lower, Ag’s higher.
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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…

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