Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Property and Casualty Insurance company’s option implied volatility is mixed into Hurricane Sandy

Allstate (ALL) overall option implied volatility of 25 is above its 26-week average of 22.

Chubb (CB) overall option implied volatility of 18 is near its 26-week average of 19.

Travelers (TRV) overall option implied volatility of 18 is below its 26-week average of 20.

AIG (AIG) overall option implied volatility of 32 is below its 26-week average of 34.

Berkshire Hathaway (BRK’B) overall option implied volatility of 17 is near its 26-week average of 17.

Aon (AON) overall option implied volatility of 18 is below its 26-week average of 22.

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