Blogging Options: CBOE Morning Update

Volatility as an asset class

Avon Products (AVP) is trading higher by $1.22 to $18.50 in the premarket after reporting Q4 adjusted EPS 37c, compared to consensus of 27c. Q4 revenue of $3B was in line with analyst estimates. February call option implied volatility is at 77, March is a 47, April is at 39; compared to it’s 26-week average of 42.

Apple (AAPL) is flat at $479.93 in the premarket as speculation grows into the company shareholder meeting scheduled for February 27th. Overall option implied volatility of 28 is below its 26-week average of 32.

VIX methodology for Apple (VXAPL) closed at 30.79; above its 10-day moving average of 28.75 and below its 50-day MA of 37.28.

Huntsman Corp. (HUN) closed at $19.07 as the Utah based chemical company reported Q4 EPS of $0.24, $0.01 better than the analyst estimate of $0.23. Revenue for the quarter came in at $2.62 billion versus the consensus estimate of $2.49 billion. Overall option implied volatility of 40 is near its 26-week average of 38.

CBOE Volatility Index-VIX closed at 12.94, below its 10-day moving average of 13.60, and its 50-day moving average of 15.11.

SPDR S&P 500 ETF Trust (SPY) is unchanged at 151.77 in the premarket as Japan stocks rally and German stocks trade mixed.

Calls with increasing volume at CBOE:

XLK 3/16/2013 31 26K contracts
DELL 2/16/2013 14 13K
HAS 2/16/2013 40 12K
BAC 2/16/2013 12 9K
AAPL 2/16/2013 500 8K
SPY 2/16/2013 152 8K

KO beat on earnings but was light on the revenue side, off 1% to $38.22 pre market.