Blogging Options: CBOE Morning and Mid-day Update

Volatility as an asset class

Airliners option implied volatility near three year highs as shares near record lows a day after Hurricane Irene
 
Delta Air Lines (DAL) overall option implied volatility of 68 is above its six-month average of 54.
 
United Continental (UAL) overall option implied volatility of 73 is above its six-month average of 52.
 
JetBlue (JBLU) overall option implied volatility of 70 is above its six-month average of 43.
 
US Airways (LCC) overall option implied volatility of 89 is above its six-month average of 55.
 
AMR Corp. (AMR) overall option implied volatility of 77 is above its six-month average of 58.
 
CBOE significant call volume increases
BAC 8/26/2011 8 17K contracts
GE 1/21/2012 19 15K
GLD 8/26/2011 175 7K
AAPL 8/26/2011 385 6K
YRCW 9/17/2011 0.50 5K

Mid-day update:

SPDR S&P 500 ETF (SPY) is recently up 2.3% to $120.69. September call option implied volatility is at 28, October is at 26; above its 26-week average of 21.

The PowerShares QQQ Trust (QQQ) is recently up 2.2% to $54.33. September call option implied volatility is at 27, October is at 26; above its 26-week average of 21.
 
Semiconductor Holders Trust (SMH) is recently up 67c to $29.14, above its 10-day moving average of 28.45. Overall volatility of 35 is above its 26-week average of 23.
 
Russell 2000 (IWM) is recently up $2.64 to $71.74; above its 10-day moving average of 68.34. Overall implied volatility of 42 is above its 26-week average of 24.
 
Financial Select Sector (XLF) September and November call option implied volatility is at 36, above its 26-week average of 24.

September front month equity options expire, September 16, 2011