Blogging Options: CBOE Morning Update

Volatility as an asset class

Toll Brothers (TOL) is up $1.46 to $34.09 in the premarket as the luxury home builder reported a large tax benefit, while revenue rose across all regions. Overall option implied volatility of 41 is above its 26-week average of 38.

Pep Boys (PBY) is down$0.89 to $9.79 in the premarket after the auto-care company reported a larger than expected Q3 loss. Overall option implied volatility of 50 is above its 26-week average of 35.

Oracle (ORCL) is recently down 16c to $32.15 in the premarket after its board will pay dividends for the next three quarters early. Overall option implied volatility of 25 is near its 26-week average of 26.

VIX methodology for IBM (VXIBM) at 18.51; below its 50-day moving average of 19.63.

CBOE Volatility Index (VIX) closed at 16.64, above its 10-day moving average of 15.52, and its 50-day moving average is 16.43.

SPDR S&P 500 ETF Trust (SPY) is trading mixed in the premarket as the White House dismissed a “fiscal cliff” proposal from congressional Republicans. European shares are now mixed after giving upp early gains.

Calls with increasing volume at CBOE;

SPY 1/19/2013 142 42K contracts

MSFT 4/20/2013 29 35K

CSCO 12/22/2012 20 25K

FB 3/16/2013 29 11K

EFA 1/19/2013 55 11K