Blogging Options: CBOE Morning Update

Volatility as an asset class

Deere (DE) is trading down $2.76 to $83.31 in the premarket after the world’s largest agriculture equipment provider reported Q4 EPS of $1.75 on Europe and Asia sales weakness. Overall option implied volatility of 27 is near its 26-week average of 26.

Salesforce.com (CRM) is trading up $3.87 to $149.77 in the premarket after enterprise cloud computing company reported Q3 EPS 33c, compared to consensus 32c. Overall option implied volatility 41 is near its 26-week average of 43.

Charter Communications (CHTR) is down $1.07 to $69.24 in the premarket after the broadband-communications operator said its largest shareholder Apollo Capital Management LP plan to reduce its stake in the company to 3.1M shares. Overall option implied volatility of 25 is below its 26-week average of 30.

CBOE Volatility Index (VIX) closed at 15.08, below its 10-day moving average of 17.21 and its 50-day moving average of 16.23.

Calls with increasing volume at CBOE;

SPY 11/23/2012 140 13K contracts

QQQ 1/19/2013 65 10K

AAPL 11/23/2012 565 10K

BBY 3/16/2013 21 10K

TEA 12/22/2012 15 7K

SPDR S&P 500 ETF Trust (SPY) is recently up 0.2% in the premarket after the IMF was unable to move forward with a Greek debt crisis deal. Initial Claims in at 410k as expected, last week revised from 439k to 451k (~18 month high).

Weekly options added this morning (not tomorrow) for November 30th expiration.

U of M later this morning. November VIX Settlement later this morning.