Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 18c to $19.46 in the pre-market as bond prices trend lower. Overall option implied volatility of 37 is below its 26-week average of 41.
 
Research In Motion (RIMM) is recently 62c to $17 in the pre-market following the Board of directors of RIMM, announcing Thorsten Heins as President and CEO. Heins was also appointed to RIM’s Board. Oveall option implied volatility of 62 is near its 26-week average of 64.

Apple (AAPL) is recently up $3.60 to $424 in the premarket into the expected release of financial results on January 24. Overall option implied volality of 34 is above its 26-week average of 31. VIX methodology for Apple (VXAPL) closed at 33.56; below its 50-day moving average of 33.21.
 
 
CBOE Volatility Index-VIX closed at 18.28; its lowest level since July 22, 2011.
 
U.S. equities are mixed in the pre-market into Tuesday’s State of the Union Address and Federal Reserve meeting results on Wednesday.
 

CBOE significant call volume increases;

FCX 2/18/2012 41 27K contracts
AAPL 1/21/2012 420 8K
USL 2/18/2012 45 8K
GOOG 1/21/2012 585 6K
BAC 2/18/2012 7 6K
COG 1/21/2012 65 5K
NFLX 1/21/2012 100 5K
GE 1/21/2012 19 5K

 

GONG XI FA CHAI. Happy Lunar New Year and Happy Chinese New Year. The Year of Dragon.