Blogging Options: CBOE Mid-day Update

Volatility as an asset class

AOL Inc.’s (AOL) is recently up $2.32 to $33.63 after the Internet company reported stronger than expected advertising sales for the first quarter in eight years. February call option implied volatility is at 31, March is at 37, April is at 44; compared to its 26-week average of 38.

Home Depot (HD) is recently up 57c to $66.88 as a blizzard hits the Northeastern U.S. Overall option implied volatility of 21 is near its 26-week average of 22.

Intuit (INTU) is recently down 69c to $61.55 after guiding Q2 revenue lower on the late passage of tax legislation and the Internal Revenue Service’s delay in opening e-file. March call option implied volatility is at 21, April and July is at 18; compared to its 26-week average of 23.

CBOE S&P 500 BuyWrite Index (BXM) is recently up 46c to 926.70, above its 10-day moving average of 924.11.

CBOE Volatility Index (VIX) is recently down 54c to 12.96. VIX February 15, March 25 and 32 calls are active on total option volume of 245K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.48 to $682.16 as major index’s trade at fresh five-year highs.