Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Big box retailers option implied volatility mixed into ‘Black Friday’ and holiday shopping season

Wal-Mart (WMT) overall option implied volatility of 17 is near its 26-week average.

Target (TGT) overall option implied volatility of 19 is below its 26-week average of 21.

Macy’s (M) overall option implied volatility of 25 is below its 26-week average of 33.

Costco (COST) overall option implied volatility of 20 is near its 26-week average of 19.

Nordstrom (JWN) overall option implied volatility of 23 is below its 26-week average of 25.

Kohl’s (KSS) overall option implied volatility of 24 is below its 26-week average of 27.

Best Buy (BBY) overall option implied volatility of 70 is above its 26-week average of 55.

Sears Holding (SHLD) overall option implied volatility of 45 is below its 26-week average of 55.

J.C. Penney (JCP) overall option implied volatility of 63 is above its 26-week average of 54.

CBOE Volatility Index (VIX) is recently down 0.7% to 14.97. VIX December 18 and 24 calls are active on total option volume of 414K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.2% to $633.66 on weak Deere (DE) guidance and the IMF unable to move forward with a Greek debt crisis deal.

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.