Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Family Dollar (FDO) is down $7.52 to $56.51 following Q1 profit and December same store sales growth missing expectations. January put option implied volatility is at 30, February is at 28, April is at 29; compared to its 26-week average of 30.

Ross Stores (ROST) is up $4.32 to $58.75 after the retailer reported December same store sales up 6%, and new Q4 EPS guidance of $1.05 to $1.06 versus consensus of $1.04. January call option implied volatility is at 24, February is at 25, May is at 23; compared to its 26-week average of 27.

Gap (GPS) is up 80c to $32.80 on better than expected December same store sales, the approval of a $1B share buyback and the purchase of multi-brand specialty retailer Intermix for $130M. January and February call option implied volatility is at 28, March is at 32; below its 26-week average of 35.

CBOE Volatility Index (VIX) is down 0.14 to 14.55. VIX February 14 and 17 puts are active on total option volume of 526K contacts at the CBOE.

S&P 100 Options (OEX) is now off 1.00 to $662.87 at midday, as better than expected December retail and auto sales moved stocks higher initially but December FED Minutes point to eventual ending of QE. Friday’s employment report tomorrow next economic number of interest.