Blogging Options: CBOE Morning Update 5.30.13

Volatility as an asset class

EMC Corp (EMC) is up $0.84 to $24.50 in the premarket after the data storage company increased its share buyback program to $6B from $1B, initiated a quarterly dividend of 10c and backing 2013 guidance. Overall option implied volatility of 25 is near its 26-week average.

Costco (COST) is higher by $0.55 to $113.50 in the premarket after the warehouse club retailer reported Q3 revenue of $23.55B, compared to its consensus $24.21B. May weekly call option implied volatility is at 47, June is at 22, July is at 18, October is at 17; compared to its 26-week average of 19.

NV Energy (NVE) is up $4.47 to $23.75 in the premarket on being acquired by MidAmerican Energy Holdings Company, a subsidiary of Berkshire Hathaway (BRK.A) for $23.75 per share. Overall option implied volatility of 22 is near its 26-week average of 21.

VIX methodology for iShares Silver Trust (VXSLV) closed at 36.27; above its 50-day moving average of 32.47.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42, above its 50-day moving average of 38.33.

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

CBOE S&P 500 BuyWrite Index (BXM) closed at $962.25, below its 10-day moving average of 964.07 and above its 50-day moving average of 953.20. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.83, above its 10-day moving average of 13.59, and its 50-day moving average of 13.60. www.cboe.com/VIX

CBOE VIX futures May at 13.17, August at 17.15, February at 20.‏

Calls with increasing volume at CBOE:

PFE 7/20/2013 35 21K contracts
QQQ 5/31/2013 74 15K
SPY 5/31/2013 166 12K
CLSN 1/18/2014 1.50 8K
F 6/22/2013 15 7K

Puts with increasing volume at CBOE:

SPY 7/20/2013 160 27K
PFE 7/20/2013 35 21K
QQQ 5/31/2013 73 11K
BAC 1/18/2014 10 10K
GES 9/21/2013 22 10K

SPDR S&P 500 ETF Trust (SPY) is recently up 68c to $165.90 after the Nikkei declined 5.2%. European stocks mixed.