Volatility as an asset class
Smith & Wesson (SWHC) is up $0.52 to $9.82 in the premarket after the gun maker pre-announced earnings and a $100M share repurchase authorization. Overall option implied volatility of 43 is below its 26-week average of 49.
Edwards Lifescience’s (EW) is down $0.97 to $70.98 in the premarket after losing a patent bid in Germany versus Medtronic (MDT), Bloomberg says. Overall option implied volatility of 35 is above its 26-week average of 30.
Groupon (GRPN) is up $0.52 to $7.38 in the premarket after being upgraded to Buy from Hold at Deutsche Bank. Overall call option implied volatility of 60 is below its 26-week average of 69.
CBOE Interest Rate 5 Year Note (FVX) is recently down 73c to 10.24 in the premarket, below its 10-day moving average of 10.71.
VIX methodology for iShares Silver Trust (VXSLV) closed at 36.79; above its 50-day moving average of 35.48.
CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) closed at 42.56, above its 50-day moving average of 41.60.
Options expected to be active on open at CBOE; AAPL FSLR BA GCI SIRI TSLA.
CBOE S&P 500 BuyWrite Index (BXM) closed at $962.95, above its 10-day moving average of 957.36 and its 50-day moving average of 956.93. www.cboe.com/BXM
CBOE Volatility Index (VIX) closed at 16.41, above its 10-day moving average of 16.56, and its 50-day moving average of 14.25. www.cboe.com/VIX
CBOE VIX futures June at 18.80, August at 18.45, February is at 21.
Calls with increasing volume at CBOE:
SPY 6/22/2013 166 30K contracts
XLF 6/22/2013 20 8K
ELN 6/22/2013 13 8K
PFE 7/20/2013 36 7K
Puts with increasing volume at CBOE:
SPY 6/22/2013 162 23K contracts
IWM 6/22/2013 93 11K
XLI 6/22/2013 42 10K
PPI for May with a gain of 0.5% far above estimated of a 0.1% gain. Core Rate (X-Food & Energy rose only 0.1%
SPDR S&P 500 ETF Trust (SPY) is recently down 20c to $164.01 as dollar stabilizes.