Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
Delta Air Lines (DAL) is recently down 31c to $9.83 after reporting Q3 EPS 90c, consensus 91c. Overall option implied volatility of 46 is near its 26-week average.

US Airways (LCC) is recently up 6c to $12.15 as the nation’s fifth-largest carrier benefited from a gain related to a slot transaction with Delta. Overall option implied volatility of 21is above its 26-week average of 18.

Lockheed Martin (LMT) is recently up $2.96 to $94.91 after reporting Q3 EPS $2.21, compared to consensus $1.85. Overall option implied volatility of 18 is near its 26-week average.

General Dynamics (GD) is recently up $2.27 to $68.46 on Q3 EPS $1.70 on strong aerospace revenue growth. Overall option implied volatility of 21 is above its 26-week average.

Northrop Grumman (NOC) is recently up 34c to $70 after reporting a Q3 beat and guidance raise on margins. Overall option implied volatility of 22 is near its 26-week average.

U.S. stocks are trading near seven-week lows into Wednesday’s Federal Reserve policy decision.

CBOE Volatility Index (VIX) is recently down 47c to 18.36. VIX November 18 and 19 calls are active on total option volume of 222K contacts at the CBOE.

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