Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Chubb (CB) is recently up $2.74 to $83.07 on the company seeing FY13 EPS $6.40-$6.80, compared to its consensus $6.26. February call option implied volatility is at 15, March is at 16, April is at 15 and July is at 17; compared to its 26-week average of 17.

Toyota (TM) is recently up $2.48 to $97.85 after reporting January U.S. sales rose 26.6% to 157,725 units. March call option implied volatility is at 22, April is at 20, July is at 19; compared to its 26-week average of 22.
 
Merck (MRK) is recently down $1.34 to $41.92 on the pharmaceutical company seeing 2013 revenues to be near 2012 levels on constant currency basis. March call option implied volatility is at 14, April and July is at 15; compared to its 26-week average of 18.

CBOE VVIX Index (VVIX) is recently down 4.9% to 72.99. www.cboe.com/micro/vvix

CBOE Volatility Index (VIX) is recently down 10.6% to 12.76. VIX February 16 and March 22 calls are active on total option volume of 180K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.9% to $681.02 at midday as data showed hiring increased in January after accelerating more than previously estimated at the end of 2012 as the Dow Jones Industrial Average trades above 14,000.