Blogging Options: CBOE Morning Update

Volatility as an asset class

Ralcorp (RAH) is up $18.72 to $88.95 in the premarket following ConAgra (CAG) announcing the acquisition of the company for $90 per share in cash. Overall option implied volatility of 34 is above its 26-week average of 26.

Las Vegas Sands (LVS) $45.80, up $1.77 in the premarket after announcing a special dividend of $2.75. Overall option implied volatility of 34 is below its 26-week average of 38.
United States Oil Fund (USO) is up 12c to $32.31 in the premarket as WTI Crude oil is steady at $87.77. Overall option implied volatility of 29 is near its 26-week average of 31.

CBOE Volatility Index-VIX closed at 15.50, below its 10-day moving average of 16.19, and its 50-day moving average of 16.26.

SPDR S&P 500 ETF Trust (SPY) is recently down 7c to $140.98 in the premarket suggesting a slightly lower open after terms of a new debt deal for Greece have been outlined.

Calls with increasing volume at CBOE;

XLU 12/22/2012 35 21K contracts
SPY 11/30/2012 143 14K
MS 12/22/2012 18 10K
IWM 12/28/2012 81 10K
AAPL 11/30/2012 600 8K

October Durable Goods were flat, X-Transports up 1.5%. September Housing Prices rose.

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