Blogging Options: CBOE Mid-Morning Update

Volatility as an asset class:
Facebook (FB) stock options began trading at the CBOE today. FB competitors have a wide variance of option implied volatility (see Friday’s blog for a list). FB was trading at $30.20 on ~14 million shares.

The implied volatility of the At-The-Money FB options are interesting. With FB at $30.20, the June 30 calls were trading at an IV of 53.70%, while the 30 strike puts were at an IV of 68.9%. July 30 calls at a 53.10 vol, and July 30 puts at 64.35% vol. So it appears if FB will have a skew similar to Zynga and GRPN, rather than GOOG and LNKD, with puts trading at a much higher implied volatility.

Dollar Tree (DLTR) announced that its Board of Directors has approved a 2-for-1 stock split in the form of a 100% common stock dividend. June and July put option implied volatility is at 28, August is at 31. DLTR was off $0.15 after the opening.

Puts with increasing volume at CBOE.
AAPL 560.0000 13K contracts

YHOO 10/20/2012 13 8K

KMI 6/16/2012 45 8K

NFX 1/19/2013 45 6K

MO 9/22/2012 32 4K


CBOE Volatility Index-VIX is at 21.63, off 0.13, after closing at 21.76 Friday. 10-day moving average is 22.58, 50-day moving average is 18.32.

U.S. equities opened higher by ~1%, shrugging off a plunge in Consumer Confidence to 64.9% (from a revised 68.7%. 69.2% to 70% had been expected). Markets overseas trading higher calmed US markets.