Blogging Options: CBOE Morning Update 5.8.13

Volatility as an asset class

Whole Foods Markets (WFM) is up $7.55 to $100.35 in the pre-market after the supermarket chain announced a Q2 profit increase of 20% and a two-for-one stock split. Overall option implied volatility of 30 is near its 26-week average of 29.

3D Systems (DDD) is down $2.72 to $39.90 in the pre-market  after maker of 3-D printers filed $250M of a mixed securities shelf.  Overall option implied volatility of 41 is below its 26-week average of 51.

SodaStream (SODA) is recently down $3.40 to $49.71 in the pre-market after the maker of home beverage carbonation systems said Q1 results were modestly better than expected. May call option implied volatility is at 71, June is at 45, July is at 41, October is at 39; compared to its 26-week average of 44.

Delta Air (DAL) is recently up 18c to $18.25 in the pre-market after initiating a 6c per share quarterly dividend and authorizes a $500M share repurchase. Overall option implied volatility of 40 is near its 26-week average of 42.

VIX methodology for iShares Silver Trust (VXSLV) closed at 32.66; below its 10-day moving average of 34.09.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 40.97, below its 10-day moving average of 41.34.

Options expected to be active on open at CBOE; WBMD SODA CIE BBRY EA SYMC DDD  WFM VCLK CA RBCN

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.26; above its 10-day moving average of 959.16 and above its 50-day moving average of 944.19. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.83, below its 10-day moving average of 13.44, and its 50-day moving average of 13.62. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.20 to $162.40 in the pre-market as the market continues to make new highs.

Calls with increasing volume at CBOE:

SPY 1/18/2014 161 20K contracts
BAC 5/18/2013 13 19K
JPM 6/22/2013 50 11K
VXX 5/18/2013 20 8K

Puts with increasing volume at CBOE:

VXX 5/18/2013 16 15K contracts
SPY 5/18/2013 162 11K
INTC 6/22/2013 24 11K
ASTX 7/20/2013 5 10K

McDonalds (MCD) sales dropped a little more than expected for April, shares are off $0.25.  German economic date was good this morning.  European shares marginally higher, grains mixed.
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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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