Blogging Options: CBOE Mid-day Update

Volatility as an asset class

American Express (AXP) is recently down $1.44 to $57.94 after releasing in line Q3 results. November call option implied volatility is at 17, January is at 19; below its 26-week average of 24.

Morgan Stanley (MS) is recently down 13c to $18.36 after posting a Q3 loss, but core results beating analyst estimates. November and January call option implied volatility is at 33; below its 26-week average of 44.

Travelers (TRV) is recently up $2.57 to $73.96 after Q3 beat estimates on less than expected disaster costs. November and January call option implied volatility of 14 is below its 26-week average of 17.

CBOE Volatility Index (VIX) is recently down 2c to 15.09. VIX November and December calls are active on total option volume of 458k contacts at the CBOE.

U.S. stocks are mixed to lower after a surprise Google (GOOG) miss.

VIX methodology for Google (VXGOG) at 30.16; compared to its 50-day moving average of 27.48