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.

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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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