Blogging Options: CBOE Morning Update

Volatility as an asset class

Verizon (VZ) has rallied $1.25 pre-marketand is now at $43, up $0.44 after reports Q4 revenue of $30.05B, compared to consensus $29.83B. Overall option implied volatility of 18 is near its 26-week average of 17.

Travelers (TRV) is up $2.19 to 78.59 in the premarker after reporting Q4 revenue $6.48B, consensus $5.34B. February call option implied volatility is at 15, March and July is at 14; below its 26-week average of 18.

Delta Air Lines (DAL) is flat in the premarket after reporting Q4 EPS 28c, consensus 28c February and March call option implied volatility is at 37; below its 26-week average of 44.

CBOE Volatility Index-VIX closed at 12.46, below its 10-day moving average of 13.39, and 50-day moving average of 16.10. Multi-year low.

SPDR S&P 500 ETF Trust (SPY) is recently down 5c to 148.10 in the premarket on mixed corporate earnings and guidance.

Calls with increasing volume at CBOE;
SPY 1/19/2013 148 80K contracts
ORCL 1/19/2013 34 37K
AAPL 1/19/2013 500 23K
QQQ 1/19/2013 67 20K
SHLD 1/17/2015 70 20K
SIRI 1/19/2013 3 11K

VZ & TRV helping the DJIA. Other DJ stocks reporting this morning include DD (up $0.40) and JNJ (flat). NIKKEI off 1%, metals and oil up slightly.

-1 degree on way in this morning. Stay warm.