Blogging Options: CBOE Morning Update 5.1.13

Volatility as an asset class

Dreamworks (DWA) is up $1.62 to $20.90 in the premarket after the computer-animation studio reported better than expected financial results. May call option implied volatility is at 39, September is at 32, December is at 31; compared to its 26-week average of 34.

Merck (MRK) is down $1.91 to $45.09 in the premarket after the pharmaceutical company reported a Q1 revenue shortfall. May call option implied volatility is at 34, May is at 19, June, July and October is at 16; compared to its 26-week average of 18.

Comcast (CMCSA) is higher by $0.65 to $41.95 in the premarket after the communication and content portal reported Q1 profits rose 17%. May call option implied volatility is at 22, June and July is at 18; compared to its 26-week average of 22.

Humana (HUM) is up $2.68 to $76.79 in the premarket after the insurer reported Q1 net rose 91% on lower benefit costs. May call option implied volatility is at 34, June and August is at 27; compared to its 26-week average of 27.

VIX methodology for iShares Silver Trust (VXSLV) closed at 34.29; above its 50-day moving average of 27.98.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 39.90, above its 50-day moving average of 33.42.

Options expected to be active on open; CHK HUM FB SIRI VOD AAPL DWA NUAN MRK

CBOE S&P 500 BuyWrite Index (BXM) closed at $959.99; above its 10-day moving average of 952.09 and above its 50-day moving average of 940.25. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.52, below its 10-day moving average of 14.49, and its 50-day moving average of 13.80. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 16c to $159.84 into this afternoon release of the FOMC statement.

Calls with increasing volume at CBOE:

XLF 5/18/2013 19 18K contracts
SPY 6/22/2013 170 15K
MBI 6/22/2013 11 10K
QQQ 6/22/2013 71 8K
PFE 9/21/2013 29 8K
AAPL 5/3/2013 450 7K
MSFT 1/17/2015 40 7K
S 8/17/2013 7 7K

SPDR S&P 500 ETF Trust (SPY) is flat into this afternoon release of the FOMC statement.

ADP report misses big.  131k is their April jobs number (150k add was consensus).