Blogging Options: CBOE Morning Update

Volatility as an asset class

Caterpillar (CAT) is is recently up $1.95 to $97.55 in the premarket on Q4 EPS topped consensus estimates after the company’s China write-down is excluded. Overall option implied volatility of 25 is below its 26-week average of 29.

Proshares Ultra Short 20 Year Treasury ETF (TBT) is recently up 36c to $66.92 in the premarket into this week’s FOMC meeting. Overall option implied volatility of 27 is below its 26-week average of 30.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) at 1221.20, near 50-day MA 1180.81

CBOE Volatility Index (VIX) closed at 12.89, below its 10-day moving average of 13.03, and its 50-day moving average of 15.65.

Calls with increasing volume friday at CBOE;

IYR 3/16/2013 70 70K contracts
SPY 1/25/2013 150 43K
GGC 2/16/2013 60 21K
AAPL 1/25/2013 450 17K
PPG 2/16/2013 180 15K
LMT 3/16/2013 95 10K
SM 3/16/2013 60 9K 

SPDR S&P 500 ETF Trust (SPY) is recently down 0.06 to 150.13 in the premarket as investors will be watching corporate earnings reports and economic data as they look for reasons to continue to purchase stocks after the market’s recent run.

Durable Goods for december higher by 4.6%, X-Transpo’s rose 1.3%. Last month revised slightly higher.