Blogging Options: CBOE Morning Outlook 5.28.13

Volatility as an asset class

Tiffany (TIF) is up $4.75 to $80.95 in the pre-market after reporting Q1 net earnings rose 2.5%. May weekly call option implied volatility is at 51, June is at 31, July is at 26, November is at 27; compared to its 26-week average of 28.

Valeant (VRX) is higher by $8.53 to $93 in the pre-market after the Canadian pharmaceutical company announced the acquisition of Bausch + Lomb for $8.7B in cash.  June option implied volatility is at 41, July and August is at 38; compared to its 26-week average of 37.

Tesla Motors (TSLA) is trading up $4.79 to $102.15 in the premarket on headlines from Germany that Angela Merkel repeated her target of bringing 1M electric cars onto German roads by the end of the decade. Overall option implied volatility of 63 is above its 26-week average of 43.

VIX methodology for iShares Silver Trust (VXSLV) closed at 39.23; above its 50-day moving average of 31.85.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 45.87, above its 50-day moving average of 37.75.

Options expected to be active on open at CBOE; TIF TSLA NOK BAC SIRI MSFT GOOG

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.13, near its 10-day moving average of 963.79 and above its 50-day moving average of 952.21. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 13.99, above its 10-day moving average of 13.19, and its 50-day moving average of 13.51. www.cboe.com/VIX

CBOE VIX futures May at 13.17, July at 16.50, January at 19.70‏

Calls with increasing volume at CBOE:

EWJ 9/21/2013 13 36K contracts
SPY 5/24/2013 165 25K
ZTS 7/20/2013 40 13K
EFA 6/22/2013 63 10K
NTAP 6/22/2013 38 10K
AAPL 5/24/2013 445 9K

SPDR S&P 500 ETF Trust (SPY) is recently up 1.75 to $166.75 after the Nikkei was up 1.2% (breaking a 3-day drop.  Rally may have been helped in part BOJ intervention)) and the FTSE up 1.5%.
Case Schiller (March data) released 30 minutes before market opens, Consumer Confidence an hour later.  20 in a row for Tuesday’s higher?