Blogging Options: CBOE Morning Update 3.26.14

Durable Goods for Feb rose 2.2%, higher than expected.

Volatility as an asset class

Facebook (FB) is down $0.13 to $64.76 in the premarket after announcing a deal to acquire virtual reality technology company Oculus in a cash and stock deal worth about $2B. Overall option implied volatility of 45 is near its 26-week average of 43.

Five below (FIVE) is up $6.09 to $44.09 after the discount retailer’s Q4 profit grew 31% on new store openings. April call option implied volatility is at 83, May is at 54, August is at 47; compared its 26-week average of 44.

International Game (IGT) is down $1.25 to $13.60 in the premarket after the slot-machine maker cut its fiscal 2014 earnings outlook and announced a 7% workforce reduction. Overall option implied volatility of 36 is near its 26-week average of 37.

Options expected to be active @ CBOE: IGT FB RHT LULU FIVE ACN PLUG FCEL BLDP ECYT BBRY LULU

CBOE S&P 500 PutWrite Index (PUT) at 1403.70, above its 10-day MA of 1402.96 and its 50-day moving average of 1378.70. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1042.44, compared to its 10-day moving average of 1046.98 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 257.86, compared to its 50-day moving average of 254.54 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.87, compared to its 10-day moving average of 15.48. 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 49c to 43.32 in the premarket.

CBOE Volatility Index (VIX) at 14.02, compared to its 10-day moving average of 15.24 and its 50-day moving average of 15.08 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.75 to $187.07 as Asian shares trade at a two-week high.

Calls with increasing volume at CBOE:

SIRI 6/21/2014 3.50 50K contracts
KGC 5/17/2014 5 37K
MSFT 4/19/2014 41 22K
EEM 4/4/2014 40 21K
AMAT 1/17/2015 20 14K
GM 1/17/2015 40 11K
FB 4/19/2014 65 8K