Blogging Options: CBOE Morning Update

Volatility as an asset class

Lowe’s Reports (LOW) is up $1.28 to $33.26 in the premarket after reporting Q3 revenue of $12.1B, compared to consensus $11.91B. December and March put option implied volatility of 32 is above its 26-week average of 27.

Tyson Foods (TSN) is higher by $0,37 to $17.25 in the premarket into reporting Q4 adjusted EPS 55c, consensus 44c. December and January put option implied volatility of 33, compares to its 26-week average of 31.

Cisco (CSCO) is trading up 17c to $18.15 in the premarket after announcing intent to acquire Meraki, a leader in cloud networking, or $1.2B. Overall option implied volatility of 26 is below its 26-week average of 30.

CBOE Volatility Index (VIX) closed at 16.41, below its 10-day moving average of 17.77, and above its 50-day moving average of 16.28.

Calls with increasing volume at CBOE;

SPY 11/17/2012 136 52K contracts

AAPL 11/17/2012 525 30K

MGM 11/17/2012 10 13K

SPDR S&P 500 ETF Trust (SPY) is recently up 0.63% in the premarket on optimism of budget talks. Peace talks in Egypt progressing, results unclear. 10-year rallies off 3-month low to 1.6%. Nikkei leading Asian stocks higher, many European markets up 1% on US markets firming. BP to buy back $5.9B worth of shares, is up 2%.

Short trading week and Nov. expiration behind us coulrd slow volume. VIX starts week at 16.41.