CBOE Morning Update 5.31.13

Volatility as an asset class

OmniVision (OVTI) is up $3.51 to $19 in the premarket after the camera sensor technology provider reported better than expected Q4 guidance. June call option implied volatility is at 53, July is at 42, September is at 40; compared to its 26-week average of 42.

Krispy Kreme (KKD) is higher by $1.54 to $15.80 in the premarket after Q1 results and full-year guidance beat analyst expectations. June call option implied volatility is at 54, July is at 48, August is at 47, November is at 43; compared to its 26-week average of 40.

Palo Alto Networks (PANW) is down $7.25 to $47.14 in the premarket after the manufacturer of hardware and software for computer-network security reported a Q3 loss on higher than expected losses.  June call option implied volatility is at 53, July is at 46, September is at 41; compared to its 26-week average of 40.

VIX methodology for iShares Silver Trust (VXSLV) closed at 35.82; above its 50-day moving average of 32.60.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.66, above its 50-day moving average of 38.60.

Options expected to be active on open at CBOE; AAPL BAC BBRY GOOG TSLA PANW OVTI

CBOE S&P 500 BuyWrite Index (BXM) closed at $964.95, above its 10-day moving average of 964.20 and above its 50-day moving average of 953.79. www.cboe.com/BXM

CBOE Volatility Index (VIX) closed at 14.53, 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, Aug at 17.25, Feb 20.05‏

Calls with increasing volume at CBOE:

QQQ 5/31/2013 74 25K contracts
BAC 5/31/2013 14 12K
IACI 10/19/2013 40 12K
SPY 5/31/2013 166.50 11K
OXY 8/17/2013 100 9K
EWJ 1/18/2014 12 8K

Puts with increasing volume at CBOE:

QQQ 5/31/2013 74 28K contracts
IWM 12/31/2013 72 19K
SPY 6/22/2013 163 17K
VXX 6/22/2013 19 12K
1/18/2014 10 12K

SPDR S&P 500 ETF Trust (SPY) is recently down $0.83 to $165.04 on investor concerns of Federal Reserve stimulus will be reduced.

April Consumer Spending dropped 0.2% (up 0.1% March), April had been expected to show a slight rise +0.1%.  Income was flat.