Blogging Options: CBOE Morning Update

Volatility as an asset class

North east coast power generation and retail electricity company’s option implied volatility is mixed into Hurricane Sandy

PSEG (PEG) overall option implied volatility of 16 is below its 26-week average of 18.

NRG Energy (NRG) overall option implied volatility of 39 is above its 26-week average of 35.

Northeast Utilities (NU) overall option implied volatility of 19 is near its 26-week average.

Consolidated Edison (ED) overall option implied volatility of 13 is near its 26-week average of 14.

Edison International (EIX) overall option implied volatility of 16 is near its 26-week average.
 
 
CBOE Volatility Index (VIX) closed at 17.81. VIX closed above its 10-day moving average of 16.73 and 50-day MA of 15.74.

Calls with increasing volume at CBOE;

SPY 11/17/2012 141 20K contracts
AAPL 10/26/2012 610 16K
UPS 4/20/2013 75 13K
QQQ 12/22/2012 68 11K998

U.S. stocks and stock futures are trading lower on the closure of U.S. markets on Monday, October 29. As we announced last evening, the CBOE is closed today due to Hurricane Sandy. At least two firms delayed earnings reports due today.

September Consumer Spending at +0.8% was higher than expected, Income was unchanged +0.4%. Chicago Manufacturing was off 0.4%.

It is unknown at this time if exchanges will open tomorrow. When we know definitivily wewill post here immediately.