Blogging Options: CBOE Morning Update 5.17.13

Volatility as an asset class

J.C. Penney (JCP) is down $0.69 to $18.10 in the premarket after the retailer reported a Q1 loss of $1.58 as same store sales fell 16.6%. Overall option implied volatility of 106 is above its 26-week average of 62.

Nordstrom (JWN) is down $2.37 to $58.76 after the high end retailer reported Q1 earnings fell 2.7% on weaker than expected sales volume and higher costs.  Overall option implied volatility of 26 is near its 26-week average of 25.

Dell (DELL) is down 2c to $13.41 after reporting Q1 net income declined nearly 80% as revenue rose 2% to $14.1B. June call option implied volatility is at 22, July is at 16; compared to its 15-week average of 16.

VIX methodology for iShares Silver Trust (VXSLV) closed at 38.33; above its 50-day moving average of 29.60.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 43.94, above its 50-day moving average of 36.02.

Options expected to be active on open at CBOE; JWN AAPL BAC TSLA ADSK BRCD KSU NTAP WMT GOOG

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.87; above its 10-day moving average of 962.33 and above its 50-day moving average of 949.02. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.07, above its 10-day moving average of 12.79, and below its 50-day moving average of 13.35. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 40c to $165.75 into The University of Michigan’s consumer confidence reading and the Index of Leading Economic Indicators will be released after the market opens.

Calls with increasing volume at CBOE:

SPY 5/31/2013 167 31K contracts
XLI 9/21/2013 46 22K
EWZ 1/17/2015 80 20K
CBST 1/18/2014 70 10K
TMO 9/21/2013 90 9K
BBRY 6/22/2013 27 9K

 

Overseas markets quiet overnight. .