Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Toyota Motor (TM) is up $1.31 to $91.67 after the company agreed to a settlement valued over $1B related to previous recalls over claims of accelerator pedal problems. January call option implied volatility is at 21, February is at 22, April is at 20; compared to its 26-week average of 21.
RadioShack (RSH) is down 7%, J.C. Penney (JCP), has declined nearly 6.6%, Best Buy (BBY) down 1.4% and Sears Holdings (SHLD) down 1.9%, after all were mentioned by The Wall Street Journal among four retailers that may face a particularly challenging and important year in 2013.

RadioShack overall option implied volatility of 76 is near its 26-week average of 78.

J.C. Penney January, February and March put option implied volatility of 72 is above its 26-week average of 59.

Best Buy January put option implied volatility is at 66, February is at 72, March is at 77; compared to its 26-week average of 58.

Sears January put option implied volatility is at 60, February is at 62, March is at 64; compared to its 26-week average of 52.

CBOE Volatility Index (VIX) is up 3.5% to 20.16. VIX January 20, 21 and 25 calls are active on total option volume of 430K contacts at the CBOE.

SPX options traded ~ 300k contracts by mid-day.

S&P 100 Options (OEX) is down 0.9% to $639.06 after a leading Democrat warned that there may not be enough time left to avoid a trip over the fiscal cliff.

December U.S. Consumer Confidence fell to 65.1 from a downwardly revised 71.5 (originally 73.7%) in November, Expectations were for a reading of 70.0 for the December.