Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Goldman Sachs (GS) is recently up $4.23 to $139.83 after the investment banker reported Q4 revenue $9.24B consensus $7.91B. February call option implied volatility is at 20, April is at 22; below its 26-week average of 29.

VIX methodology for Goldman Sachs (VXGS) is recently down 3.18 to 23.71, below its 50-day moving average of 30.71.

Dunkin’ Brands (DNKN) is recently up 35c to $6.81 on revealing a target of 330-360 net new restaurants in 2013. Overall option implied volatility of 27 is below its 26-week average of 32.

Wendy’s (WEN) is recently up 13c to $5.03 after reporting Q4 EPS 8c, compared to its consensus 4c. Overall option implied volatility of 25 is below its 26-week average of 29.

CBOE Volatility Index (VIX) is recently down 1.7% to 13.32. VIX February 20 and 24 calls are active on total option volume of 1.1M contacts at the CBOE as February options become the front month after January expiration.

SPDR S&P 500 ETF Trust (SPY) is recently down 0.1% to $146.96 at midday with new worries for Boeing (BA) weighing on its shares and in turn the market.