Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Navistar (NAV) is recently down $1.29 to $21.57 after the commercial-truck manufacturer reported a wider than expected Q4 loss on several large charges and double-digit percentage decrease in sales. January put option implied volatility is at 53, April is at 60; compared to its 26-week average of 62.

General Motors (GM) is recently up $2.03 to $27.52 after agreeing to buy back 200M shares from The U.S. Treasury Department for $27.50/share, or $5.5B. January call option implied volatility is at 34, March is at 33; compared to its 26-week average of 34.

Delphi Automotive (DLPH) is recently up $1.01 to $35.47 after Standard & Poor’s said it will add the auto parts manufacturer to the S&P 500 index, replacing Titanium Metals (TIE). January call option implied volatility is at 21, February is at 22, May is at 24; below its 26-week average of 29.

CBOE Volatility Index (VIX) is recently up 1.03 to 16.60. VIX January 16 calls and puts are active on total option volume of 360K contacts at the CBOE.

S&P 100 Options (OEX) is recently down .82c to $656.54 at midday on housing data and fiscal cliff budget talks.

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