Blogging Options: CBOE Morning Update

Volatility as an asset class

UPS (UPS) is up $1.00 to $72.56 in the premarket on inline Q3 results and seeing volume gains in the US. UPS overall option implied volatility of 18 is near its 26-week average of 17.

Whirlpool (WHR) is up $2 to $88.31 in the premarket after reporting better than expected Q3 earnings of $1.80 and raising guidance. Overall option implied volatility of 37 is near its 26-week average.

DuPont (DD) is down $3.16 to $46.60 in the premarket after reporting Q3 adjusted EPS 32c and lowering its outlook. Overall option implied volatility of 20 is below its 26-week average of 23.


CBOE Volatility Index (VIX) closed at 16.62, above its 10-day moving average of 15.86 and 50-day MA of 15.43.

Calls with increasing volume at CBOE;

MSFT 11/17/2012 29 18K contracts

SPY 11/17/2012 143 13K

FXI 11/17/2012 39 9K

YHOO 10/26/2012 16 6K

FB 11/17/2012 21 6K

U.S. stocks are lower (S&P futures off 17, DJIA lower by 150 and NASDAQ down by 25) on weak corporate revenue growth reports. MMM earnings OK, but they, DD and UTX all guided lower. Five Spanish regions had their debt rating cut another notch, European equities off 1.3% to 1.8% before our opening. Asian stocks were mixed. Mr Bernanke talking about leaving after his term up in early 2014.