Blogging Options: CBOE Morning Update

Volatility as an asset class

Best Buy (BBY) is up $0.69 to $12.90 in the premarket after reporting same store sales down 1.4%, below analyst expectations of a 2%-3% drop. Overall option implied volatility of 66 is above its 26-week average of 60.

American Express (AXP) is off $0.30 from Thursday’s close at $60.79, after announcing preliminary Q4 results that beat Street estimates and said it was cutting 5,400 jobs by the end of the year. Overall option implied volatility of 20 is below its 26-week average of 23.

Wells Fargo (WFC) is down $0.56 to $34.84 in the premarket after reporting Q4 EPS 91c, compared to consensus 89c. Overall option implied volatility of 21 is below its 26-week average of 26.

CBOE Volatility Index (VIX) closed at 13.49, 10-day moving average is 15.79, and 50-day moving average is 16.63.

SPDR S&P 500 ETF Trust (SPY) is recently trading flat in the premarket into after closing at a fresh five year high yesterday.

Calls with increasing volume at CBOE;

VXX 2/16/2013 38 17K contracts
SPY 2/16/2013 150 12K
F 3/16/2013 14 10K
AAPL 1/11/2013 525 10K
FXI 1/19/2013 40 8K
APC 1/19/2013 75 8K
JCP 2/16/2013 29 8K
MS 1/19/2013 19 7K

November Trade Deficit rises to highest level since April.