Blogging Options: CBOE Morning Update

Volatility as an asset class

Macy’s  (M) is down 56c to $39.80 in the premarket after reiterateing Q4 EPS view $1.94-$1.99, compared to consensus $2.01. Overall option implied volatility of 27 is below its 26-week average of 32.

Gap (GPS) is down 82c to $35 in the premarket after reporting November net sales up 3%, comparable sales up 3%. Overall option implied volatility of 46 is above its 26-week average of 32.

Tiffany (TIF) is down $5.05 to $58.68 in the premarket after lower its EPS and worldwide sales outlook. Overall option implied volatility of 33 is near its 26-week average of 33.

Nordstrom (JWN) is recently down $1.20 to $54 in the premarket after reporting November sales were up 1.8%, SSS were down 1.1%. Overall option implied volatility of 33 is above its 26-week average of 27.

Kohl’s (KSS) is recently down $3.90 to $47.25 in the premarket after reporting November SSS down 5.6%, total sales down 4.9%. Overall option implied volatility of 24 is below its 26-week average of 27.

SPDR S&P 500 ETF Trust (SPY) is recently up 77c to $142.21 in the premarket on optimism towards solving the fiscal cliff.

CBOE Volatility Index-VIX closed at 15.51, below its 10-day moving average of 16, and its 50-day moving average of 16.31.
 

Calls with increasing volume at CBOE;

SPY 1/19/2013 143 35K contracts

F 12/22/2012 10 15K

BRE 1/19/2013 55 9K

AAPL 11/30/2012 580 9K

 

European stocks higher on light volume. Grains higher on bad Argentina weather. Weekly jobless claims dropped.

3Q GDP rose to 2.7% from 2.0%.

US futures higher on rhetoric easing in Washington and some progress on budget impass.