Blogging Options: CBOE Mid-Day Update

Volatility as an asset class

US Airways (LCC) is down $0.23 to $14.52 on 4.4 million shares, into reports the company is near signing a merger deal with American Airlines. February call option implied volatility is at 59, March is at 51, June is at 42; compared to its 26-week average of 58.

Loews (L) is off $0.28 to $43.57 after reporting Q4 adjusted net income $236M, compared to consensus 30c. February call option implied volatility is at 24, June is at 14, September is at 12; compared to its 26-week average of 18.

Proshares Ultra Short 20 Year Treasury ETF (TBT) is up 1c to $67.26 as Treasury’s trade near seven- month highs. February weekly call option implied volatility is at 23, March and June is at 24; compared to its 26-week average of 30.

CBOE S&P 500 BuyWrite Index (BXM) at 927.22 above its 50-day moving average of 911.87. www.cboe.com/BXM

CBOE Volatility Index (VIX) is off 0.02 to 13.00. VIX February 13 and 15 calls are active on total option volume of 108K contacts at the CBOE.

S&P 100 Options (OEX) is lower by 0.20 to $682.84 into President Obama’s State of the Union Address tonight. Asian Holiday and east Coast storm slowing volume this morning. European stocks closed mixed to lower on light volume. MCD up $0.40, HD off $0.65 and WMT off $0.39.