Blogging Options: CBOE Morning Update

Volatility as an asset class

Gap (GPS) is recently up $0.20 to $33.46 after the retailer reported a Q3 profit increase of 60%. Overall option implied volatility of 46 is above its 26-week average of 32.
 
Sears Holdings Corp (SHLD) is off over $8.00 to $50.47 in the premarket after reporting a wider than expected Q3 loss. Overall option implied volatility of 82 is above its 26-week average of 52.
 
Applied Materials (AMAT) is off $0.10 to $10.10 in the premarket after the semiconductor-equipment company reporting weak Q4 revenue and a large impairment and restructuring charge. Overall option implied volatility of 31 is near its 26-week average of 31.

SPDR S&P 500 ETF Trust (SPY) is down slightly into President Obama holding budget talks with lawmakers.

CBOE Volatility Index (VIX) closed at 17.97, 10-day moving average is 17.89, and 50-day moving average is 16.24.

Calls with increasing volume at CBOE;

SPY 12/22/2012 140 29K contracts

AAPL 11/17/2012 535 13K

IWM 11/17/2012 78 12K

Puts with increasing volume at CBOE;

SPY 11/17/2012 135 80K contracts

IWM 12/22/2012 78 41K

HES 12/22/2012 50 23k

EWZ 11/17/2012 52 16K

Industrial Production released before the open showed a contraction of 0.4% (+0.2% expected), blamed partially on Hurricane Sandy. Vix at 18.15, up 0.16.

Expiration Friday. Will there be a run on Twinkies with Hostess Brands liquidation?

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