Blogging Options: CBOE Morning Update

Volatility as an asset class

Apple (AAPL) is down $16.30 to $504 (traded below $500) in the premarket on the company reducing component orders for iPhone 5 on weak demand, WSJ says. Overall option implied volatility of 36, above 26-week average of 32.

VIX methodology for Apple (VXAPL) closed at 40.59, above its 10-day moving average of 39.48 and its 50-day of 36.66.

UPS (UPS) is up $0.64 to $78.56 (a point off its low) in the premarket after announcing its ending its bid for TNT Express. Overall option implied volatility of 17 is near its 26-week average.

Hhgregg (HGG) is down 48c to $7.41 in the premarket after cutting its FY13 EPS view to 70c-80c from 90c-$1.05. Overall option implied volatility of 50 is near its 26-week average.

JCP off 2% pre-market after lower than expected holiday sales.

CBOE Volatility Index (VIX) closed at 13.36, below its 10-day moving average is 15.18, and its 50-day moving average is 15.54.

Calls with increasing volume Friday at CBOE;

SPY 1/19/2013 145 23K contracts

AAPL 1/11/2013 525 13K

SPY 1/11/2013 147 9K

MS 1/19/2013 19 9K

FB 3/16/2013 29 7K

Option volume last Friday ~16 mm contracts. SPX 616k, VIX ~830k, SPY with 307k at CBOE.

SPDR S&P 500 ETF Trust (SPY) is mixed to lower in the premarket into earnings season. Nasdaq futures are under pressure due to weakness in Apple shares, which (as stated above) are lower following reports that the company is ordering fewer iPhone parts due to slowing demand. US Economic news – nothing of note until tomorrow.

January VIX settles Wednesday this week, regular January option expiration this Friday.