Blogging Options: CBOE Morning Update

Volatility as an asset class

FedEx (FDX) is higher by $1.00 to $93.36 in the premarket after reaffirming FY13 EPS $6.20-$6.60, consensus $6.39. Quarterly earnings missed slightly. December call option implied volatility is at 39, January and April is at 22; compared to its 26-week average of 24.

Oracle (ORCL) is up $0.76 to $33.64 in the premarket after reporting Q2 adjusted EPS 64c, consensus 61c. Overall option implied volatility of 31 is above its 26-week average of 27.

General Mills (GIS) is up $0.36c to $42.13 in the premarket after reporting Q2 EPS $0.86, compared to consensus $0.79. Overall option implied volatility of 14 is near its 26-week average of 14.

CBOE Volatility Index (VIX) closed at 15.57, below its 10-day moving average of 16.19, and its 50-day moving average is 16.64.

CBOE VIX futures January at 16.84, April at 19.10, August at 22.10.

Calls with increasing volume at CBOE;

SPY 12/22/2012 150 34K contracts
BAC 12/22/2012 11 17K
QQQ 1/19/2013 67 10K
 
Puts with increasing volume at CBOE;

SPY 2/16/2013 135 30K contracts
XLB 1/19/2013 32 30K
TLT 12/22/2012 122 28K

SPDR S&P 500 ETF Trust (SPY) is recently up 16c to $145.43 in the premarket as budget discussions continue.

November Housing Starts were reported as 861k, lower than estimates ranging from 865k to 875k.

GM up over $2 in the pre-market as it announces plan to repurchase shares owned by US Government.

VIX December Settlement will be reported here after the opening.