Blogging Options: CBOE Morning Update

Volatility as an asset class

Citigroup (C) is down $1.60 to $40.88 in the premarket as net income rose 25% to $1.2B, compared to a year earlier. Overall option implied volatility of 31 is below its 26-week average of 35.

Bank of America (BAC) is $0.05 to $11.72 in the premarket after reporting Q4 net income fell 63% on charges. Overall option implied volatility of 35 is below its 26-week average of 38.

PNC Financial (PNC) is up $1.02 to $60.80 in the premarket after announcing Q4 net rose 51% on strong revenue growth. Overall option implied volatility of 23 is below its 26-week average of 25.

Boeing (BA) is recently down $1.19 to $73.15 in the premarket after the FAA announced that it would temporarily ground entire fleet of 787 Dreamliner planes. Overall option implied volatility of 25 is near its 26-week average of 24.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) closed at 1208.10, above its 10-day moving average of 1202.72 and its 50-day moving average of 1175.87. www.cboe.com/BXY

CBOE Volatility Index (VIX) closed at 13.42, below its 10-day moving average of 13.69, and its 50-day moving average of 16.29.

Calls with increasing volume at CBOE yesterday;

XLF 6/22/2013 19 18K contracts
BAC 1/19/2013 12 16K
DAL 3/16/2013 11 11K
ASTX 4/20/2013 3 11K
AAPL 1/19/2013 510 9K
FB 1/19/2013 31 9K

Volume yesterday was over 850k in VIX and SPX options, VIX futures over 100k.

SPDR S&P 500 ETF Trust (SPY) is recently up 5c to 147.10 as earnings, revenue and guidance season begins.

Housing Starts and Weekly Initial Claims looked good this morning but were both “Seasonally Adjusted”.

Expiration tomorrow, before long weekend.