Blogging Options: CBOE Morning Update

Volatility as an asset class

Green Mountain Coffee (GMCR) is down $3.70 to $45.24 in the premarket after the coffee company reported solid Q3 results and gave a weak outlook. February put option implied volatility is at 122, March is at 76, April is at 63; compared to its 26-week average of 73.

Visa (V) is off $1.73 to $159.09 in the premarket after the company reported a Q1 profit increase of 25%. February call option implied volatility is at 26, March is at 21; compared to its 26-week average of 26.

Akamai (AKAM) is down $7 to $34.58 in the premarket after the Internet service company reported slowing quarterly revenue growth. Overall option implied volatility of 49 compares to its 26-week average of 38.

Starwood Hotels (HOT) is up $4.13 to $66.73 in the premarket after reporting Q4 results above analyst guidance. March call option implied volatility is at 34, March and August is at 24; compared to its 26-week average of 31.

Yelp (YELP) is down $1.17 to $21.21 in the premarket after reporting Q4 net revenue increasing 65% from Q4 2011. Overall option implied volatility of 74 is above its 26-week average of 64.

CBOE Volatility Index (VIX) closed at 13.41, below its 10-day moving average of 13.57, and below its 50-day moving average of 15.26.

SPDR S&P 500 ETF Trust (SPY) is flat at 151.16 in the premarket as Asian and European stocks trim recent gains.

Calls with increasing volume at CBOE:

LCC 3/16/2013 17 20K contracts
SU 3/16/2013 33 16K
VXX 2/16/2013 32 16K
AAPL 2/8/2013 460 14K
DELL 4/20/2013 14 10K
UAL 2/16/2013 26 10K
BAC 2/16/2013 12 10K 

Q4 Productivity fell 2%, Weekly Claims down slightly.