Blogging Options: CBOE Morning Update

Volatility as an asset class

Sprint (S) is up $0.75 to $5.79 on media reports Softbank is in discussions to purchase a controlling stake in the company. Overall option implied volatility of 56 is above its 26-week average of 53.

Ruby Tuesday (RT) is down $0.13 to $6.93 after reporting Q1 adjusted EPS 5c, compared to consensus 6c. Overall option implied volatility of 58 is above its 26-week average of 52.

PrivateBancorp (PVTB) is up $1.08 to $17.00 after reporting Q3 EPS 27c and a 4.75M share secondary priced at $15.75. Overall option implied volatility of 43 is near its 26-week average.

CBOE Volatility Index (VIX) closed Wednesday at 16.29, above its 10-day moving average of 15.46 and 50-day MA of 15.50. It was last at 15.50, off 0.79.

Calls with increasing volume at CBOE;

XLF 11/17/2012 16 21K contracts
FXI 11/17/2012 37 20K
QQQ 11/17/2012 70 13K
SPY 12/22/2012 100 11K
MSFT 11/17/2012 30 8K
CSCO 11/17/2012 21 7K

U.S. stocks are trading higher on optimism for stable Chinese economic growth. Positive spinning on Greece but Spain bonds cut to 1 level above junk. Oils and metals higher, ag’s mixed.

“Mongo only a pawn in game of life”. Mongo, 1974, “Blazing Saddles“. We’ll miss you Mongo.

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