Volatility as an asset class
Toll Brothers (TOL) is up $1.67 to $37.68 in the premarket after the home-builder reported Q2. June call option implied volatility is at 36, July is at 34, September is at 33; compared to its 26-week average of 37.
NetApp (NTAP) is higher by $1.97 to $38.60 in the premarket after the data-storage company reported better than expected Q4 earnings and promised to raise payouts to shareholder through stock buybacks. Overall option implied volatility of 36 is near its 26-week average of 35.
Intuit (INTU) closed at $57.89 into the tax preparation portal reported Q3 earnings rose 12%. June call option implied volatility is at 28, July is at 25, January is at 23; compared to its 26-week average of 24.
Merck (MRK) is up $0.31 to $47.64 in the premarket after the pharmaceutical company announced a $5B accelerated share repurchase. Overall option implied volatility of 20 is near its 26-week average of 19.
VIX methodology for iShares Silver Trust (VXSLV) closed at 42.21; above its 50-day moving average of 30.60.
CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.39, above its 50-day moving average of 36.84.
Options expected to be active on open at CBOE; CCL LOW NTAP INTU HPQ TGT SKS SNE TSLA
CBOE S&P 500 BuyWrite Index (BXM) closed at $967 above its 10-day moving average of 963.81 and above its 50-day moving average of 950.78. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 13.37, above its 10-day moving average of 12.84, and near its 50-day moving average of 13.38. www.cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is recently up 13c to $167.30 as the Japanese Nikkei rose 1.6% to a five-and-a-half year high.
Calls with increasing volume at CBOE:
AMTD 1/18/2014 26.5 25K contracts
VXX 6/22/2013 20 10K
NTAP 9/21/2013 40 9K
GILD 1/18/2014 55 7K
SPY 5/24/2013 167 7K
WLT 6/22/2013 22.5 5K
WMB 8/17/2013 38 5K
FRAN 6/22/2013 30 5K
AAPL 5/24/2013 440 4K
SKS up $2.50 pre-market after retaining GS for advise. TGT missed estimates and guided lower. VIX May Settlement released after the close.