Blogging Options: CBOE Morning Update

Volatility as an asset class

Eli Lilly (LLY) is recently up $1.25 to $40.50 in the pre-market on the company backing FY12 EPS of $3.10. February put option implied volatility is at 28, April is at 21; compared to its 26-week average of 22.
 
Pfizer (PFE) is recently up 22c to $21.75 in the pre-market on Q4 earnings results beating consensus of 47c. February and March put option implied volatility of 21 is below its 26-week average of 27.
 
Exxon Mobil (XOM) is recently down 64c to $84.85 in the pre-market on Q4 revenue of $121.7B vs. consensus $119.7B. Overall option implied volatility of 21 is near its 26-week average of 22.
 
CBOE Volatility Index-VIX closed at 19.39, 10-day moving average is 19.36, 50-day moving average is 24.70
Significant put volume increases;

BAC 3/17/2012 8 20K contracts
C 2/3/2012 30 6K
XOM 2/3/2012 85 5K
COV 7/21/2012 45 4K
YHOO 2/18/2012 15 3K
MS 2/18/2012 17 3K
AAPL 2/3/2012 440 3K
 
U.S. equities are mixed to higher in the pre-market on hopes the U.S. economy is improving.

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