Blogging Options: CBOE Morning Update 3.28.14

Spending and Income in February rose 0.3.%, in-line with expectations.  US & overseas markets firm.

Volatility as an asset class

Blackberry (BBRY) is up $0.33 to $9.38 in the premarket after reporting Q4 adjusted EPS (8c), compared to consensus (55c) and targeting break even cash flow by end FY15. March weekly call option implied volatility is at 183, April is at 88, May is at 77, June is at 67; compared to its 26-week average of 58.

Red Hat (RHT) is off $0.47 to $55.66 after the open source software provider reported better than anticipated Q4 earnings and revenue. April call option implied volatility is at 46, June is at 34, September is at 30; compared to its 26-week average of 32.

Exact Sciences (EXAS) is higher by $0.62 to $14.37 in the premarket on FDA advisory panel recommends approval of Cologuard, a colon cancer screening test. Overall option implied volatility of 109 is above its 26-week average of 80.

Options expected to be active @ CBOE: BBRY ECYT ARIA FB V NFLX AMZN RH

CBOE S&P 500 PutWrite Index (PUT) at 1394.50, above its 10-day MA of 1401.89 and its 50-day moving average of 1379.71. cboe.com/PUT

CBOE S&P 500 BuyWrite Index (BXM) at 1036.20, compared to its 10-day moving average of 1044.85 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 256.89, compared to its 50-day moving average of 254.57 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.17, compared to its 10-day moving average of 15.45. 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 52c to 43.55 in the premarket.

CBOE Volatility Index (VIX) at 14.62, compared to its 10-day moving average of 15.12 and its 50-day moving average of 15.16 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 0.52 to $185.10 on Chicago Fed’s Charles Evans doesn’t expect the first rate hike until the 2nd half of 2015 – somewhat later than Janet Yellen’s “six-month” (from QE’s end) remark which suggested a boost as soon as April 2015.

Calls with increasing volume at CBOE:

XLF 4/19/2014 23 53K contracts
SPY 3/31/2014 188 35K
CNQ 9/20/2014 39 25K
PBR 4/19/2014 12 18K
IWM 3/31/2014 117 14K
FB 4/19/2014 62.50 10K

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