Blogging Options: CBOE Morning Update

Volatility as an asset class

Ingersoll-Rand (IR) is up $1.26 to $49.95 in the premarket after the company announced plans for a tax-free spinoff of commercial and residential security business. Overall option implied volatility of 24 is below its 26-week average of 29.

McDonald’s (MCD) is higher by $1.85 to $90.33 in the premarket after reporting November global comparable sales up 2.4%, performance by segment includes U.S. up 2.5%, Europe up 1.4%, Asia/Pacific, Middle East and Africa up 0.6%. Overall option implied volatility of 17 is near its 26-week average.

AIG (AIG) is down 40c to $33.73 in the premarket on its expectations of losses from super storm Sandy reaching $1.3B. Overall option implied volatility of 29 is below its 26-week average of 31.

CBOE Volatility Index (VIX) closed at 15.90, below its 10-day moving average of 16.05, and its 50-day moving average of 16.52.

Calls with increasing volume at CBOE;

GEO 12/22/2012 12.5 30K contracts

SPY 12/14/2012 144 19K

SD 12/22/2012 10 17K

BAC 12/7/2012 10.5 15K

AAPL 12/7/2012 540 15k

AIG 2/16/2013 37 14K

SPDR S&P 500 ETF Trust (SPY) is down 32c to $141.18 in the premarket as they take their lead from weak overseas markets. Metals and oil higher, grails lower. DJIA up a fraction due to component MCD.