Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
Global money center’s stock option implied volatility continues to be elevated as shares rally on global banks announcing a coordinated response to improve liquidity.

Goldman Sachs (GS) is recently up $4.55 to $93.66. December and January call option implied volatility of 47 is above its 26-week average of 36.

Citigroup (C) is recently up $1.44 to $26.69. December and January call option implied volatility of 58 is above its 26-week average of 49.

Deutsche Bank (DB) is recently up $3.09 to $38.63. December call option implied volatility is at 67, January is at 75; above its 26-week average of 53.

Financial Select Sector (XLF) December put option implied volatility at 42, January is at 40; above its 26-week average of 29, representing large price risk.