Blogging Options: CBOE Morning Update 3.21.14

US Dollar a little weaker and overseas stocks edge higher in early trading.

Volatility as an asset class

Symantec (SYMC) is down $1.95 to $18.94 in the premarket after the unexpected termination of CEO Steve Bennett.  Overall option implied volatility of 38 is above its 26-week average of 29.

Nike (NKE) is down $2.46 to $76.81 after reporting better-than-expected earnings and revenue, but the athletic footwear and apparel company warned that the impact from foreign currencies will impact its fourth quarter and fiscal 2015 results. March call option implied volatility is at 69, April is at 37, May is at 26, July is at 23; compared to its 26-week average of 25.

Ann Taylor (ANN) is up $3.08 to $40.30 in the premarket after Golden Gate Capital reported a 9.5% stake in the company.  GG said it intends to, “leverage [its] significant retail expertise and public and private equity experience to assist in creating value for the company’s shareholders”. Overall option implied volatility of 30 is at its 26-week average.

Options expected to be active @ CBOE: SYMC NKE SLV PBR TIF DRI LULU BBRY CPWR ANN

CBOE S&P 500 PutWrite Index (PUT) at 1407.75, above its 10-day MA of 1402.08 and its 50-day moving average of 1376.79. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1053.68, compared to its 10-day moving average of 1049.76 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 259.43, compared to its 50-day moving average of 254.49 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.22, compared to its 10-day moving average of 15.10. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 18c to 43.80 in the premarket.

CBOE Volatility Index (VIX) at 14.52, compared to its 10-day moving average of 15.14 and its 50-day moving average of 14.96 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.30 to $187.43 into five initial public offerings scheduled to take place today as the syndicate calendar continues to be very active.

Calls with increasing volume at CBOE:

SPY 3/22/2014 187 77K
XLF 4/19/2014 23 47K
BAC 3/22/2014 18 23K
MS 4/19/2014 33 21K
VXX 4/19/2014 75 20K