Blogging Options: CBOE Morning Update

Volatility as an asset class

Citigroup (C) is up $0.75 to $35.50 in the premarket after topping Q3 EPS by $0.08. Overall option implied volatility of 35 is below its 26-week average of 38. Citi earned $1.06, lower than the $1.23 gain a year ago but above the $0.98 expected.

ConAgra (CAG) closed at $27.94 in the premarket into guiding FY13 adjusted EPS to $2.03-$2.06, consensus $2.06. Overall option implied volatility of 15 is near its 26-week average.

Sprint (S) is trading up 15c to $5.88 in the premarket after SoftBank announced the acquisition of a 70% stake in Sprint for $20.1B. Overall option implied volatility of 54 is near its 26-week average of 53.

Calls with increasing volume at CBOE;

AAPL 10/12/2012 635 20K contracts
S 10/20/2012 6 18K
SPY 10/12/2012 143 15K
AAPL 10/12/2012 630 14K
XLF 11/17/2012 16 13K
POT 12/22/2012 50 8K

CBOE Volatility Index (VIX) closed at 16.14, above its 10-day moving average of 15.58 and 50-day MA of 15.41.

September Retail Sales + 1.1% (+1.2% August), X-Autos also up 1.1% (+1.0%). Both had been expected under 1%. 

October Empire State -6.16% (-10.41 in September), below the 5% estimated.

U.S. stocks are higher into S&P 500 earnings releases and European leaders Oct. 18-19 summit. Citi earned $1.06, lower than the $1.23 gain a year ago but above the $0.97 expected.