Blogging Options: CBOE Morning Update 5.13.13

Volatility as an asset class

Stratasys (SSYS)  is up $1.71 to $85.10 in the premarket  after the 3D printing company reported Q1 EPS 43c, compared to consensus 38c. Overall option implied volatility of 55 is near its 26-week average of 53.

iShares MSCI Japan Index Fund  (EWJ) is up $0.09 to $11.85 as Japan’s Nikkei share average surged to a new 5-1/2-year high today as the  yen weakens.  Overall option implied volatility of 19 is near its 26-week average of 18.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) closed at $63.58 after a recent sell off of U.S. long term bonds.  Overall call option implied volatility of 24 is below its 26-week average of 27.

Options expected to be active on open; HD LOW CSCO FB BBRY JPM C

CBOE S&P 500 BuyWrite Index (BXM) closed at $963.04; above its 10-day moving average of 960.95 and above its 50-day moving average of 946.58. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.59, below its 10-day moving average of 13.20, and its 50-day moving average of 13.45. www.cboe.com/VIX.

SPDR S&P 500 ETF Trust (SPY) is recently down 49c to $162.92 in the premarket into the release of several pieces of economic data.

Calls with increasing volume at CBOE:

QQQ 5/31/2013 74 105K contracts
AIG 8/17/2013 45 35K
SPY 1/18/2014 163 21K
IWM 6/22/2013 100 15K

Retail Sales up 0.1%, X-Autos off 0.1%