Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Citigroup (C) is up 34c to $36.99 after CEO Vikram Pandit stepped down. December and January option implied volatility of 32 is below its 26-week average of 38.

PNC Financial (PNC) is down $2.35 to $6.58 after reporting Q3 EPS $1.64, compared to consensus $1.60. Overall option implied volatility of 24 is near its 26-week average of 24.

UnitedHealth (UNH) is down 65c to $56.85 after beat expectations and raised their full year views. Overall option implied volatility of 26 is near its 26-week average of 25.

CBOE Volatility Index (VIX) is down 46c to 14.80. VIX November and December 15 calls are active on total option volume of 343K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 6.24 to $668.48 at midday following corporate profits topping estimates.

Battery maker A123 (AONE) filed for bankruptcy today ($123 million in grants from US Department of Energy), trading at $0.062, down $0.178 or 74%.