Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Facebook (FB) is recently up $1.83 to $21.67 following today’s lockup expiration (reportedly over 800 million shares freed up today, more in the spring). December put option implied volatility is at 49, January is at 51, March is at 54; below its 26-week average of 56.

IAMGOLD (IAG) is recently down $2.69 to $12.17 after reporting its quarterly results and revising its gold production guidance for its next fiscal year. December put option implied volatility is at 47, January is at 46; compared to its 26-week average of 48.

Proshares Ultra Short 20 Year Treasury ETF (TBT) is recently up 38c to $59.30 into the release of the FOMC minutes from the October 23-24 meeting and President Obama’s press conference. December call option implied volatility is at 27, January is at 26; below its 26-week average of 31.

CBOE Volatility Index (VIX) is recently up 1.8% to 16.95. VIX November 19 and December 23 calls are active on total option volume of 307K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 4.76 to $622.36 as traders focus on the fiscal cliff and European economic stability. The idea of ending deductions now and reign in spending later isn’t playing well. NDX off 12 and SPX off over 10 points. SPX options volume was 640k near noon today, VIX over 320k.