Blogging Options: CBOE Morning Update 5.22.13

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.

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Marty Kearney

Mr. Kearney began his long association with the CBOE when he became an independent Market Maker in early 1981. Mr. Kearney traded options full time on the trading floor until 1992 and periodically thereafter until 1996. In early 1992 he became a founding partner and Registered Options Principal of a brokerage firm based in…

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