Blogging Options: CBOE Morning Update

Volatility as an asset class

Diamond Foods (DMND), $13.96, the snack-food company, is flat in the pre-market, reported less than expected Q1 revenue of $258M. Overall option implied volatility of 67 is above its 26-week average of 57.

Allstate (ALL) $40.99, up $0.20, into its board of directors approving the repurchase of as much as $1B of the company’s shares. Overall option implied volatility of 19 is below its 26-week average of 21.

Eli Lilly (LLY) $48.90, uo $0.56 in the pre-market, as its board of directors authorizing a $1.5B share buyback program. Overall option implied volatility of 20 is near its 26-week average of 21.

Boeing (BA) is down $0.20 to $74.45 after announcing it will raise its quarterly dividend by 10% and resume a $3.6B share buyback. Overall option implied volatility of 22 is below its 26-week average of 24.

Diamond Foods (DMND) closed at $13.96 as the snack-food company reported less than expected Q1 revenue of $258M. Overall option implied volatility of 67 is above its 26-week average of 57.

CBOE Volatility Index (VIX) closed at 16.34, near its 10-day moving average of 16.35, and 50-day moving average of 16.63.

Calls with increasing volume at CBOE;

SPY 12/22/2012 150 31K contracts

BAC 12/22/2012 11 22K

EWZ 1/19/2013 55 21K

CLWR 1/19/2013 3 10K

SPDR S&P 500 ETF Trust (SPY) is up $0.73 to $144.50 in the premarket as negotiations in Washington continue to avoid the fiscal cliff. The White House is floating a few numbers closer to the Republicans (Incomes raised over $400k, Cap Gains 20%) but no response yet.

December VIX Futures settle tomorrow morning.