Blogging Options: CBOE Morning Update

Volatility as an asset class

Freeport McMoRan (FCX) is up 12c to $41.30 after reporting Q3 EPS 86c, consensus 73c. Overall option implied volatility of 34 is below its 26-week average of 37.

Caterpillar (CAT) is down 99c to $82.90 in the premarket after reporting Q3 EPS $2.54, consensus $2.23. Overall option implied volatility of 29 is below its 26-week average of 32.

Peabody Energy (BTU) is trading up $1.13 to $27.02 in the premarket after reporting Q3 EPS 51c, consensus 34c. Overall option implied volatility of 50 is near its 26-week average.

U.S. stocks are mixed to higher on into earnings season

CBOE Volatility Index (VIX) closed at 17.06. VIX closed below its 10-day moving average of 15.71 and 50-day MA of 15.39.

Calls with increasing volume at CBOE;

SPY 10/20/2012 145 38K contracts
XLF 11/17/2012 16 27K
EEM 11/17/2012 42 24K
AAPL 10/20/2012 630 19K

U.S. stocks are mixed to higher into earnings season. CAT earnings mentioned above beat, revenues were short but full year and 2013 guidance was lowered. Spain, with mixed election results, helps keep European situation confused.

SPX holding above important support level. VIX starts the day at 17.06.