Blogging Options: CBOE Morning Update

Volatility as an asset class

Texas Instruments (TXN) is recently up 37c to $33.60 in the pre-market following a reported 68% decline in Q4 profits, but the chipmaker is seeing customer demand picking up. Overall option implied volatility of 28 is below its 26-week average of 33.
 
DuPont (DD) overall option implied volatility of 24 is below its 26-week average of 32 into Q4 revenue $8.4B vs. consensus $8.53B.
 
Kimberly-Clark (KMB) is recently down $1.92 to $71.60 in the pre-market on Q4 operating profit declining 13% to $611M .Overall option implied volatility of 14 is below its 26-week average of 17.
 
McDonald’s (MCD) is recently up 47c to $101.42 in the pre-market on Q4 EPS $1.33 vs. consensus $1.30. Overall option implied volatility of 19 is below its 26-week average of 20.

CBOE Volatility Index-VIX closed at 18.67, 10-day moving average is 20.1, 50-day moving average is 26.05.

U.S. equities are lower in the pre-market into tonight’s State of the Union Address and Wednesday’s Federal Reserve meeting results.
 
CBOE significant put volume increases;

MMR 2/18/2012 12 13K contracts
M 2/18/2012 30.0000 12K
BAC 2/18/2012 7 7K
AA 4/21/2012 14 7K
MSFT 1/19/2013 6K

VIX options volume was heavy yesterday, as 466,000 contracts traded.