Blogging Options: CBOE Morning Update

Volatility as an asset class

Zillow (Z) is down $6.06 to $28.30 in the premarket after the real-estate information provider lowered into Q4 outlook. Z was down 5% yesterday. Overall option implied volatility of 61 is above its 26-week average of 55.

Express Scripts (ESRX) is down $8.03 to $54.86 in the premarket after the pharmacy-benefit manager lowered financial guidance. Overall option implied volatility of 28 is near its 26-week average of 27.

Weight Watchers (WTW) is up $5.37 to $52.85 following the weight-management service provider reporting Q3 revenue $430.6M, consensus $418.6M. Overall option implied volatility of 60 is above its 26-week average of 43.

CBOE Volatility Index-VIX closed at 18.42, 10-day moving average is 17.99, and 50-day moving average is 16.11.

Calls with increasing volume at CBOE;

SPY 11/17/2012 149 22K contracts

SLV 3/16/2013 50 15K

HOV 5/18/2013 4.5 10K

BAC 11/17/2012 10 9K

MRO 11/17/2012 31 9K

XLF 12/22/2012 17 8K

HES 11/17/2012 57.5 7K

S&P futures are up 4.50 from previous day’s close. German and Japanese economies slowed, AAPL lost a lawsuit against Motorola Mobility after the close. AAPL up 4 pre-market, bouncing off 200 day moving average.

It’s the U.S. elections.