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…