Blogging Options: CBOE Afternoon Update

Volatility as an asset class

MSCI Emerging Markets Index (EEM) is up $0.23 to 43.97, near a nine-month high. February 40 puts are active at the CBOE, on elevated put option implied volatility of 28; compared to its 26-week average of 25.

CBOE Emerging Markets ETF Volatility Index (VXEEM) is higher by $0.53 to 23.57.

CBOE Volatility Index (VIX) is down 7.61% to 20.99,

CBOE VIX futures; Jan @ 20.23 @ Feb @ 20.35, March @ 20.86 April @ 21.30 May @ 21.67 June @ 21.25 July @ 23 Aug @ 23.50 Sept @ 23.63.

S&P 100 Options (OEX) is up 1.60% to $637.77 at midday on continued uncertainty surrounding the fiscal cliff. Rest of indices in the green as well. Volume in VIX options brisk at 515k near noon, SPX volume over 300k options. Unclear if Chicago Bears firing of Lovie Smith adding to optimism.

The President will be speaking shortly, stories circulating about $400k for top bracket, $5 million for estates, etc. interesting to see if Senate came up with a plan similat to this and if House goes along with it.