Blogging Options: CBOE Morning Update

Volatility as an asset class

IBM (IBM) is recently down $8.08 to $202.92 in the premarket after reporting Q3 revenue of $24.7B, compared to consensus $25.38B. Overall option implied volatility of 21 is near its 26-week average of 21.

Intel (INTC) is recently down 95c to $21.40 in the premarket after reporting Q3 revenue of $13.5B, compared to consensus $13.23B. Overall option implied volatility of 26 is near its 26-week average of 25.

Intuitive Surgical (ISRG) is recently down $24.60 to $508.53 in the premarket after the CEO says procedures in Q3 came in below expectations. Overall option implied volatility 42 is above its 26-week average of 32.

CBOE Volatility Index (VIX) closed at 15.22, below its 10-day moving average of 15.43 and 50-day MA of 15.38.

U.S. stocks are mixed on inline results from PepsiCo, Bank of America and U.S. Bancorp.
 
Calls with increasing volume at CBOE;

GLD 10/20/2012 174 25K contracts
BAC 10/20/2012 10 19K
GLD 10/20/2012 168 12K
AAPL 10/20/2012 650 11K
VALE 11/17/2012 20 10K
SPY 12/22/2012 100 10k
WMB 11/17/2012 38 9K

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