Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Ford (F) is recently up 60c to $10.91 after reporting Q3 revenue $32.1B, compared to consensus $31.07B. November and December call option implied volatility of 22 is below its 26-week average of 32.

General Motors (GM) is recently up $2 to $25.28 after reporting Q3 revenue $37.6B, consensus $35.71B. November and December call option implied volatility of 32 is below its 26-week average of 35.

MasterCard (MA) is recently up $5.72 $458.67 after reporting Q3 revenue $1.9B, consensus $1.94B. November and December call option implied volatility of 22 is below its 26-week average of 27.

Disney (DIS) is recently down 99c to $49.11 after announcing the acquisition of Lucasfilm for $4.05B. December and January call option implied volatility of 20 is below its 26-week average of 24.

CBOE Volatility Index (VIX) is recently up $1.01 to 18.82. VIX November 25 and 32 calls are active on total option volume of 203K contacts at the CBOE.

U.S. stocks are recently trading lower into Friday’s October jobs report.