Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Valero Energy (VLO) is recently up $3.42 to $42.24 after the oil refiner reported better than expected Q4 earnings on improving margins. February, March and June call option implied volatility of 29 is below its 26-week average of 33.

BMC Software (BMC) is recently down $3.73 to $40.75 after the Houston based software provider company lowered revenue expectations. February put option implied volatility is at 24, March is at 23, May is at 26; below its 26-week average of 27.

Harley-Davidson (HOG) is recently up 74c to $53.94 after reporting Q4 retails sales of new motorcycles up 7.5%. February call option implied volatility is at 23, March is at 21, May is at 25; compared to its 26-week average of 29.

VIX methodology for Amazon (VXAZN) is recently up 1.94 to 46.55 into Q4; above its 50-day moving average of 35.05.

CBOE Volatility Index (VIX) is recently down 2.1% to 13.28. VIX February 16 and 26 calls are active on total option volume of 181K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.4% to $678.78 at midday into Wednesday’s FOMC meeting results and the January employment report on Friday.