Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Freeport (FCX) is recently down $5.29 to $32.99 after announcing the purchase of Plains Exploration (PXP) for $6.9B and McMoRan Exploration (MMR) for $2.1B. December call option implied volatility is at 39, January and February is at 35 compared to its 26-week average of 41.

Citigroup (C) is recently up $2.47 to $36.46 after saying it will cut over 11,000 positions and take $1B charge. December and January call option implied volatility of 33 is below its 26-week average of 38. December 36 and 37 weekly calls are active on total CBOE volume of 239K contracts.

Cobalt (CIE) is recently up $3.91 to $27.69 after announcing a significant North Platte deep-water Gulf of Mexico discovery. December and January call option implied volatility is at 45, March is at 47; below its 26-week average of 66.

CBOE Volatility Index (VIX) is recently down 72c to 16.40. VIX December 14 and 16 puts are active on total option volume of 237K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.92 to $644.78 at mid-day as financial stocks lead the market higher.

AAPL is off over $24 points (4.2%), punishing the NASDAQ on word of a clearing firm doubling margin requirements from 30% to 60%.