Blogging Options: CBOE Mid-day Update 5.17.13

Volatility as an asset class

Northrop Grumman (NOC) is recently up $2.77 to $81.77 after the defense contractor announced its board authorized an additional $4B in share repurchases, bringing the company’s outstanding repurchase authorization to $5B. June call option implied volatility is at 14, August and November is at 15; below its 26-week average of 18.

Aruba Networks (ARUN) is recently down $4.65 to $12.97 after the wireless-equipment manufacturer reported a loss and issued weak Q2 guidance. June, July and October call option implied volatility of 51 is near its 26-week average of 50.

Autodesk (ADSK) is recently down after the design-software company reported weaker than expected margins and lowered its growth guidance.  June call option implied volatility is at 28, July is at 27, October is at 29; below its 26-week average of 32.

May front month equity options expire today, May 17, 2013

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is at 1301.85, above its 10-day moving average of 1300.67 and its 50-day moving average of 1280.38.


CBOE Volatility Index (VIX) is recently down 65c to 12.42. VIX June 17, 21 and 23 calls are active on total option volume of 341K contacts at the CBOE.

CBOE DJIA Volatility Index (VXD) is recently down 5.8% to 11.20.

S&P 100 Options (OEX) is recently up 2.74 to $743.50 on May consumer sentiment as its highest level in six-years.

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