Blogging Options: CBOE Morning Update 5.29.13

Volatility as an asset class

Smithfield Foods (SFD) is up $6.51 to $32.51 in the premarket after the protein processor agreed to sell itself to China’s Shuanghui International for $34 per share in cash. Overall option implied volatility of 34 is near its 26-week average of 33.

Michael Kors (KORS) is higher by $2.02 to $64 in the premarket after the luxury accessory retailer reported inline Q4 results and sees FY14 revenue $2.65B-$2.75B on a FY14 SSS increase in the range of 15%-20%. May weekly call option implied volatility is at 144, June is at 60, August is at 45, November is at 42; compared to its 26-week average of 43.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is down 23c to $68.63 in the premarket as treasury yields have recently risen on Federal Reserve policy uncertainty. Overall option implied volatility of 30 is above its 26-week average of 27.

VIX methodology for iShares Silver Trust (VXSLV) closed at 38.59; above its 50-day moving average of 32.19.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.36, above its 50-day moving average of 38.05.

Options expected to be active on open at CBOE; SFD NOK BBRY GOOG COST TSLA SIRI

CBOE S&P 500 BuyWrite Index (BXM) closed at $965.70, near its 10-day moving average of 965.69 and above its 50-day moving average of 952.70. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.48, above its 10-day moving average of 13.30, and its 50-day moving average of 13.57. www.cboe.com/VIX

CBOE VIX futures May at 13.17, July at 16.35, January at 19.60‏

Calls with increasing volume at CBOE:

SPY 5/31/2013 168 33K contracts
GLW 11/16/2013 17 7K
UUP 12/21/2013 23 7K
EWJ 1/18/2014 14 7K

Puts with increasing volume at CBOE:

SPY 5/31/2013 164 48K contracts
IWM 5/31/2013 98 26K
XLF 7/20/2013 19 21K

SPDR S&P 500 ETF Trust (SPY) is off 1.00  to $165.30 after the Nikkei was up 1.2% and the FTSE lower by 1.5%.