Blogging Options: CBOE Morning Update

Volatility as an asset class

J.C. Penney (JCP) is down $1.40 to $20.29 after reporting Q3 revenue $2.9B, compared to consensus $3.2B. Overall option implied volatility of 67 is above its 26-week average of 52.

Disney (DIS) is trading down $1.74 to $48.30 in the premarket after reporting Q4 revenue of $10.7B, compared to consensus $10.9B. Overall option implied volatility of 24 is near its 26-week average.

Priceline.com Incorporated (PCLN) is trading down $15.84 to $612.04 in the premarket after announcing that it has signed a definitive agreement to acquire KAYAK (KYAK) in a stock and cash transaction for $1.8B.
Overall option implied volatility of 31 is below its 26-week average of 35.

CBOE Volatility Index-VIX closed at 18.47, above its 10-day moving average of 17.98, and its 50-day moving average of 16.21.

Calls with increasing volume at CBOE;

BAC 2/16/2013 10 23K contracts

SPY 11/9/2012 142 18K

S&P futures are recently down 6.75 at 1370.15 on concerns of a stalling U.S. and European economy into an expected U.S. tax hike on January 1, 2013. U of M sentiment due out llater this morning, looking for 83% (82.6% last month). Asian and European stocks lower, especially Europe. MCD off $0.43, UPS up, Z higher by $0.50.

Veterans Day Sunday, hug a Vet.