Blogging Options: CBOE Mid-day Update

Volatility as an asset class

SPDR S&P 500 ETF Trust (SPY) is recently up 57c to $144.01 after Fed keeps funds rate unchanged at 0%-0.25%. December call option implied volatility is 14, January is at 12, February is at 13; compared to its 26-week average of 18.

Deere (DE) is recently up $1.18 to $86.58 after reporting mixed November sales trends. December and January put option implied volatility is at 21, March is at 24; compared to its 26-week average of 25.

Berkshire Hathaway (BRK’B) is recently up $2.09 to $89.35 after the company announced a purchase of 9,200 of its Class A shares at $131,000 per share from the estate of a long-time shareholder. January call option implied volatility is at 12, March is at 13; below its 26-week average of 17.

CBOE VIX futures; Dec @ 15.70, Jan @ 16.65 @ Feb @ 17.70, March @ 18.59 April @ 19.60 May @ 20.45 June @ 21.22 July @ 21.21 Aug @ 22.35 http://cfe.cboe.com/

CBOE Volatility Index (VIX) is recently up 17c to 15.74. VIX December 14 puts and January 20 calls are active on total option volume of 293K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.68 to $652.98 in mid-day trading on the Fed keeping funds rate unchanged.