Blogging Options: CBOE Morning Update 5.23.13

Volatility as an asset class

Hewlett-Packard (HPQ) is up $2.66 to $23.89 after the technology conglomerate reported Q2 earnings that beat expectations and guided Q3 and full-year earnings above estimates. Overall option implied volatility 44 is above its 26-week average of 37.

PetSmart (PETM) ih sigher by $1.74 to $70.81 after the pet-supplies retailer reporting Q1 EPS 98c, compared to consensus 96c and raised its outlook for the year. Overall option implied volatility of 28 is above its 26-week average of 25.

Workday (WDAY) opened higher and is up $3.11 to $68.86 after they announced Q1 adjusted EPS (15c), compared to consensus (18c) on better than expected revenue. Overall option implied volatility of 42 is near its 26-week average of 43.

VIX methodology for iShares Silver Trust (VXSLV) rose to 44.16, up 0.12 this morning, above its 50-day moving average of 31.13.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) is at 42.83,up 0.05, above its 50-day moving average of 37.13.

Options active this morning at CBOE; HPQ AAPL GOOG TSLA EWJ SPY OEX TBT EEM

CBOE S&P 500 BuyWrite Index (BXM) is off 3.60 to $959.70, near its 10-day moving average of 963.89 and above its 50-day moving average of 951.29. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.59, up 0.77, above its 10-day moving average of 12.95, and above its 50-day moving average of 13.41. www.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 1.75 to $164.18 as the Japanese Nikkei decreases 7.6%.

Calls with increasing volume at CBOE yesterday:
EWJ 9/21/2013 13.0000 42K contracts
SPY 6/22/2013 168 26K
PFE 7/20/2013 35 19K
DD 7/20/2013 57.5 18K

Active puts at CBOE Wednesday:
EEM 9/21/2013 37.5 80K contracts
SPY 6/22/2013 163 38K
IWM 5/31/2013 94 25K
IYR 9/21/2013 72 24K
PFE 7/20/2013 35 19K

Home Sales rose, Manufacturing dropped to a 7-month low.  We’ve rallied to recover 2/3 of this mornings loss – enough to carry thru as long weekend approaches?

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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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