Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Facebook (FB) is recently up 26c to $31.20 into a “special event” this afternoon. January call option implied volatility is at 64 February is at 65, March is at 55; compared to its 26-week average of 55.

Apple (AAPL) is recently down $13.01 to $488.88 after Nomura expressed concerns about iPhone 5 sales growth. January call option implied volatility is at 40, February is at 51, March is at 37; above its 26-week average of 32.

Goldman Sachs (GS) is recently down 89c to $137.05 into the expected release of Q4 results on January 16. January call option implied volatility is at 39, February and April is at 24; compared to its 26-week average of 29.
 
VIX methodology for Goldman Sachs (VXGS) is recently up 15c to $26.93, below its 10-day moving average of $28.28 and 50-day moving average of $30.85.

CBOE Volatility Index (VIX) is recently up 0.7% to 13.62. VIX February 20 and 25 calls are active on total option volume of 858K contacts at the CBOE.

SPDR S&P 500 ETF Trust (SPY) is recently down 0.2% to $146.80 at midday following today’s U.S. reports revealing December retail sales firmness and Apple selling off 2.5%.