Blogging Options: CBOE Morning Update 5.10.13

Volatility as an asset class

Priceline.com (PCLN) is down $2.50 to $735 in the premarket after the online-travel agent reported Q1 earnings increased 34%. May call option implied volatility is at 53, July at 28; compared to its 26-week average of 34.

Nvidia (NVDA) is up $0.49 to $14.40 in the premarket after the chip maker reported Q1 earnings rose 29%.  May call option implied volatility is at 45, September is at 29; compared to its 26-week average of 37.

Gap Inc. (GPS) is higher by $1.64 to $40.60 the premarket on better than expected Q1 projections and reporting strong same-store sales for April. Overall option implied volatility of 32 is near its 26-week average of 31.

VIX methodology for iShares Silver Trust (VXSLV) closed at 32.18; below its 10-day moving average of 33.68.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 39.24, below its 10-day moving average of 40.95.

Options expected to be active on open at CBOE;  DDD DELL DNDN ERIC NVDA PCLN FB

CBOE S&P 500 BuyWrite Index (BXM) closed at $962; above its 10-day moving average of 960.33 and above its 50-day moving average of 945.83. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.13, below its 10-day moving average of 13.30, and its 50-day moving average of 13.51. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 17c to $163.05 in the premarket on solid corporate earnings reports and guidance.

Calls with increasing volume at CBOE:

S 8/17/2013 7.0000 32K contracts
SPY 5/10/2013 163 14K
MBI 6/22/2013 17 12K
JPM 12/21/2013 57.5 9K
BAC 5/18/2013 13 9K

US & foreign markets pretty flat.

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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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