Blogging Options: CBOE Morning Update 5.9.13

Volatility as an asset class

Green Mountain (GMCR) is up $9.52 to $69 in the pre-market after reporting Q2 earnings rose 42% on stronger sales of Keurig single serve coffee packs. Overall option implied volatility of 95 is above its 26-week average of 58.

Monster Beverage (MNST) is down $6.07 to $50.90 in the premarket after the energy-drink maker’s Q1 earnings fell 17%. Overall option implied volatility of 42 is near its 26-week average of 41.

Rackspace (RAX) is off $10.24 to $42 in the premarket after the data-center operator reported another quarter of slowing revenue. Overall option implied volatility of 55 is above its 26-week average of 40.

Groupon (GRPN) is up $0.61 to $6.21 in the premarket after the daily-deals website posted better than expected Q1 revenue. Overall option implied volatility of 89 is above its 26-week average of 73.

VIX methodology for iShares Silver Trust (VXSLV) closed at 32.05; below its 10-day moving average of 33.83.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 37.60, below its 10-day moving average of 41.07.

Options expected to be active on open at CBOE; BKS TSLA RAX GMCR MNST GRPN ATVI CTL CTRP NWSA

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.54; above its 10-day moving average of 959.82 and above its 50-day moving average of 945.11. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.66, below its 10-day moving average of 13.35, and its 50-day moving average of 13.54. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 9c to $163.25 in the premarket as the market continues to make new highs after last week’s stronger than expected payroll report.

Calls with increasing volume at CBOE:

SPY 5/24/2013 166 15K contracts
AIG 8/17/2013 48 15K
BAC 5/18/2013 13 12K
XLB 6/22/2013 41 10K
GLD 6/22/2013 150 8K
UNH 9/21/2013 62.50 7K

Initial Weekly claims ease to 323k, down from 327k claims last week.