Blogging Options: CBOE Morning Update

Volatility as an asset class

Mellanox (MLNX) is down $9.69 to $51.70 in the premarket after the data-storage company cutting its Q4 revenue outlook. Overall option implied volatility of 82 is above its 26-week average of 57.

Biogen (BIIB) is down $8.20 to $141.80 in the premarket after the bio-tech company discontinued its development of a lateral sclerosis candidate. Overall option implied volatility of 31 is above its 26-week average of 29.

Costco (COST) is unchanged at $101.45 in the premarket after reporting December 2012 comparable sales for gasoline, excluding items, rose 8%. January call option implied volatility is at 16, February is at 15, April is at 22; compared to its 26-week average of 20.

CBOE Volatility Index-VIX closed at 14.68, below its 10-day moving average of 18.14, and its 50-day moving average of 17.12.

Calls with increasing volume at CBOE;

C 1/19/2013 12 18K contracts
SPY 2/16/2013 150 18K
TLT 3/16/2013 124 12K
CAR 2/16/2013 20 11K
A 2/16/2013 39 11K
VXX 1/19/2013 27 9K

SPDR S&P 500 ETF Trust (SPY) is recently trading mixed to lower in the premarket a day after the stocks had their largest gains in a year. European stocks off slightly. ADP showed a nice private sector gain of 215k jobs. December auto sales later this morning, expected to be good.