Blogging Options: CBOE Morning Update

Volatility as an asset class;

Tempur-Pedic (TPX) is trading up $2.09 to $28.87 in the premarket after announcing the purchase of Sealy in deal valued at $1.3B. Overall option implied volatility of 58 is near its 26-week average of 56.

Google (GOOG) is up $4.54 to $758 in the premarket.  October call option implied volatility is at 32, November is at 26, December is at 23; compared to its 26-week average of 26 into the expected release of Q3 results on October 10.

VIX methodology for Google (VXGOG) closed at 32.36, above its 50-day moving average of 25.16.

VIX methodology for Apple (VXAPL) closed at 34.65, above its 50-day moving average of 27.48.

CBOE Volatility Index (VIX) closed at 16.81, above its 10-day moving average of 14.56 and below its 50-day MA of 15.96.


Calls with increasing volume at CBOE;

SPY 1/19/2013 165 35K contracts

QQQ 10/20/2012 71 33K

KBE 12/22/2012 23 18K

BAC 10/20/2012 9 11K

AAPL 9/28/2012 670 10K

GLD 9/28/2012 10K

U.S. stocks were higher on speculation China may announce new stimulus programs, but gave up part of their gains after several reports came out at 7:30am CDT.

August Durable Goods down 13.2% (up 3.3% in July), largest drop in 3 1/2 years. X-Transports off 1.6%.
July Durables lowered to + 3.3% from +4.1%.

Q2 GDP + 1.3% (down from +1.7%) and below the 1.7% expected

Weekly Jobless down slightly to 359k, the only bright spot this morning.