Blogging Options: CBOE Morning Update

Volatility as an asset class

Four Horsemen of banks overall option implied volatility elevated as shares near two-year lows

Bank of America (BAC) overall option implied volatility of 79 is above its 26-week average of 44.

Citigroup (C) overall option implied volatility of 71 is above its 26-week average of 36.
 
JP Morgan Chase (JPM) overall option implied volatility of 50 is above its 26-week average of 31.

Wells Fargo (WFC) overall option implied volatility of 50 is above its 26-week average of 32.
 

Stock Mover
 
General Electric (GE) is recently up 9c to $15.50 in pre-open trading following the company mailing notices of redemption to Berkshire Hathaway (BRK’B) stating that the company would redeem in full the Preferred Shares held by Berkshire Hathaway for the stated redemption price of $3.3B, which includes a 10% redemption premium, plus accrued and unpaid dividends to the redemption date. Overall option implied volatility of 39 is above its 26-week average of 29
 
 
CBOE significant call volume increases
 
CMCSA 10/22/2011 21 8K contracts
BP 9/17/2011 37 6K
CSCO 9/17/2011 16 5K
GE 1/21/2012 20 4K
TBT 10/22/2011 23 4K
DTV 10/22/2011 42 4K
BAC 9/17/2011 7 4K
RMBS 9/17/2011 12 3K
AAPL 9/17/2011 385 3K
SVNT 1/19/2013 5 3K 

Stocks up pre-opening