Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
Discount retailer’s volatility decreases as shares rally into holiday bargain season.

Family Dollar (FDO) overall option implied volatility of 27 is near its 26-week average of 29 according to Track Data.

Dollar Tree (DLTR) overall option implied volatility of 25 is below its 26-week average of 28.
 
Dollar General (DG) overall option implied volatility of 24 is below its 26-week average of 29.

99c Only Stores (NDN) overall option implied volatility of 17 is below its 26-week average of 27 into Ares and Canada Pension expected buyout close for $22 per share in early 2012.
 
Financial Select Sector (XLF) January put volatility is at 35, February is at 37; above its 26-week average of 29 as U.S. financial equity’s trade lower after the Wall Street Journal reported that the Federal Reserve has decided to implement new rules that will require banks to hold additional capital.