Blogging Options: CBOE Morning Update

Volatility as an asset class

Dell (DELL) is up $0.59 to $12.88 in the premarket a day after reports circulated the technology company was in buyout talks with private equity firms. Private. Overall option implied volatility of 39 is above its 26-week average of 34.

Lululemon Athletica (LULU) is down $4.75 to $67.55 in the premarket after yoga-apparel maker optimistic revenue outlook was less the analyst expectations. Overall option implied volatility of 48 is above its 26-week average of 45.

Lennar (LEN) is recently down $0.14 to $40.88 in the premarket after the homebuilder reported better than Q4 earnings on a tax-related gain. Overall option implied volatility of 37 is near its 26-week average of 39.

CBOE Nasdaq-100 Volatility Index (VXN) at 16.13; below its 10-day moving average of 16.72 and its 50-day moving average of 18.33. www.cboe.com/VXN

CBOE Volatility Index (VIX) closed at 13.52, below its 10-day moving average of 14.26, and its 50-day moving average of 16.44.

Calls with increasing volume at CBOE;

SHLD 1/17/2015 60 20K contracts
GG 1/19/2013 25 16K
YHOO 7/20/2013 21 12K
EEM 3/16/2013 48 11K
F 1/19/2013 15 10K
FB 2/1/2013 30 9K

SPDR S&P 500 ETF Trust (SPY) is recently down $0.74c to 146.22 in the premarket following comments on the fragility of the recovery from Fed Chairman Bernanke.

PPI off 0.2%, Core (X-Food & Energy) up 0.1%. Retail sales were up 0.5%, a tick better than November. Empire State Manufacturing off 7.8%. So economic numbers mixed.

Last day to trade Jan VIX Futures, settlement on opening tomorrow.