Blogging Options: CBOE Afternoon Update

Volatility as an asset class

The ‘Majors’ volatilities are low to flat with WTI Crude Oil futures recently down 0.15% to $85.43.

Exxon Mobil (XOM) overall option implied volatility of 18 is near its 26-week average of 19.

BP (BP) overall option implied volatility of 23 is below its 26-week average of 27.

ConocoPhillips (COP) overall option implied volatility of 24 is near its 26-week average of 25.

Chevron (CVX) overall option implied volatility of 21 is near its 26-week average of 22.

Marathon Oil (MRO) overall option implied volatility of 29 is below its 26-week average of 31.

Total (TOT) overall option implied volatility of 24 is near its 26-week average.

Eni SpA (E) overall option implied volatility of 27 is near its 26-week average.

Suncor (SU) overall option implied volatility of 29 is below its 26-week average of 33.

Hess (HES) overall option implied volatility of 35 is near its 26-week average.

Petrobras (PBR) overall option implied volatility of 33 is near its 26-week average.

PetroChina (PTR) overall option implied volatility of 33 is near its 26-week average of 35.

China Petroleum (CEO) overall option implied volatility of 29 is near its 26-week average of 30.

Royal Dutch Shell (RDS.A) overall option implied volatility of 12 is below its 26-week average of 17.

CBOE Volatility Index (VIX) is recently down 0.5% to 16.60. VIX December 17 and 20 calls are active on total option volume of 441K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 1.68 to $631.90 as European concerns ease. NASDAQ off slightly. Economic numbers not a factor today, start tomorrow with PPI & build for rest of week.