Blogging Options: CBOE Morning Update 5.15.13

Volatility as an asset class

Macy’s (M) is up $1.01 to $48.40 in the premarket after the retailer reported better than expected Q1 results, affirming its 2013 outlook, increasing its stock buyback authorization and raising its dividend. May call option implied volatility is at 44, June and August is at 23; compared to its 26-week average of 27.

Deere (DE) is down $330 to $90.47 in the premarket after the earth moving company issued cautious 2nd half guidance. Overall option implied volatility of 23 is near its 26-week average of 23.

Agilent (A) is up 53c to $44.50 in the premarket after the testing-equipment maker reported mixed Q2 results and unveiling a restructuring plan. Overall option implied volatility of 34 is above its 26-week average of 30.

VIX methodology for iShares Silver Trust (VXSLV) closed at 34.91; above its 50-day moving average of 29.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.03, above its 50-day moving average of 35.44.

Options expected to be active on open at CBOE; AAPL JPM NOK BAC BBRY TSLA SNE

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.50; above its 10-day moving average of 961.55 and above its 50-day moving average of 947.91. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 12.77, below its 10-day moving average of 13.01, and its 50-day moving average of 13.37. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 15c to $165.08 following disappointing Eurozone economic data.

Calls with increasing volume at CBOE:

SPY 5/18/2013 166 21K contracts
BAC 5/18/2013 13 19K
XLF 5/18/2013 19 12K
VXX 6/22/2013 26 12K
EWJ 9/21/2013 12 11K
F 6/22/2013 15 10K

April PPI off 0.7% (down 0.6% expected).  Empire State Manufacturing slid 1.43% (+0.4% expected). Empire State the syrprising one here. Industrial Production and Capacity Utilization before the opening.