Blogging Options: CBOE Mid-Day Update 5.3.13

Volatility as an asset class

Gilead (GILD) is up $3.31 to $55.49 to a record high, a day after the AIDS drug manufacturer reported better than expected Q1 profits.  May call option implied volatility is at 30, June and August is at 28; compared to its 26-week average of 29.

Chemed (CHE) is down $14.14 to $67.65 after the U.S. sued the company for submitting false Medicare billings for hospice services. May put option implied volatility is at 44, June and September is at 36; above its 26-week average of 23.

CBOE DJ Industrial Average Index (DJX) up 1.2% to 150.05, the first time ever trading above 150.

CBOE DJIA Volatility Index (VXD)  down 66c to $11.60. below its 50-day moving average of 12.44.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 4.40 to 1298.15, above its 10-day moving average of 1288.47 and its 50-day moving average of 1268.44.


CBOE Volatility Index (VIX) is recently down 74c to 12.85. VIX May 15 & 19 calls are active on total option volume of 174K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 7.18 to $726.40 after April Non-farm Payrolls rose 165K, compared to 140K estimates and March was revised up.

Mid-day option volume +13.4m option contracts, with over 3.6m at CBOE.  Most actives included SPX with 837k, SPY with 308k and VIX options contributing over 230k.

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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…