Blogging Options: CBOE Morning Update 5.24.13

Volatility as an asset class

Marvell Technology (MRVL) is up $0.59 to $11.90 in the premarket after the chip maker reported better than expected core earnings. May weekly call option implied volatility is at 69, June is at 49, August is at 39; compared to its 26-week average of 42.

Pandora (P) is higher by $1.90 to $19.06 in the premarket after the internet –radio provider raised its full-year guidance. June call option implied volatility is at 90, July is at 74, September is at 71; compared to its 26-week average of 65.

Sears Holdings (SHLD) is down $8.66 to $49.51 in the premarket after the retailer reported Q1 revenue and margins weakened.  June call option implied volatility is at 54, July is at 48, September is at 45; compared to its 26-week average of 46.

Salesforce.com (CRM) is down $2.91 to $42.78 in the premarket after the web-based business-software company reported an increase in expenses.  May weekly call option implied volatility is at 134, June is at 35, August is at 33; compared to its 26-week average of 34.

VIX methodology for iShares Silver Trust (VXSLV) closed at 41.11; above its 50-day moving average of 31.51.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.21, above its 50-day moving average of 37.39.

Options expected to be active on open at CBOE; AEO ANF HPQ AAPL CRM TITN ISRG PG WSM GOOG TSLA

CBOE S&P 500 BuyWrite Index (BXM) closed at $961.94, near its 10-day moving average of 963.88 and above its 50-day moving average of 951.76. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.07, above its 10-day moving average of 13.05, and its 50-day moving average of 13.45. www.cboe.com/VIX

CBOE VIX futures May at 13.17, July at 16.55, January at 19.70.‏

SPDR S&P 500 ETF Trust (SPY) is recently down 71c to $164.74 as investors rotate out of record high equity prices.

Calls with increasing volume at CBOE:

EEM 7/20/2013 43.50 28K contracts
SPY 5/24/2013 166 14K
UPS 1/18/2014 95 10K
BAC 7/20/2013 15 9K
VXX 7/20/2013 21 9K

Active puts at CBOE:

SPY 5/24/2013 165 48K
XLF 8/17/2013 19 20K
IYR 6/22/2013 74 18K

Durable Goods rose 3.3%, X-Transports up 1.3%. Stocks recovering early pre-market losses.

Holiday trading…

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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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