Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Supervalu (SVU) is recently up 38c to $3.42 after the company agreed to sell its Albertsons, Acme, Jewel-Osco, Shaw’s and Star Market chains to a Cerberus-led consortium in a transaction valued at $3.3B. February call volatility option implied volatility is at 38, April is at 36; below its 26-week average of 87.

Urban Outfitters (URBN) is recently up $1.61 to $42.36 after it reported a 9% increase in comparable retail segment net sales during the holiday season. February call option implied volatility is at 29, March is at 34; compared to its 26-week average of 33.

Molycorp (MCP) is recently down $2.38 to $8.40 after the rare earth miner forecasted lower than expected 2013 revenue and cash flow. February and March call option implied volatility of 84 is above its 26-week average of 70.

Aeropostale (ARO) is recently down 44c to $12.92 after the teen retailer cut its Q4 profit view. January call option implied volatility is at 50, February and April is at 46; compared to its 26-week average of 48.

CBOE Volatility Index (VIX) is recently down 1% to 13.67. VIX January and February 17 calls are active on total option volume of 855K contacts at the CBOE.

SPDR S&P 500 ETF Trust (SPY) is recently up 0.3% to $146.37 at midday after a less than expected weekly jobless claims report in the U.S. that was balanced by strong export data from China.