Blogging Options: CBOE Morning Update

Volatility as an asset class

Comcast (CMCSA) is up $3.23 to $42.23 in the premarket after announcing it would acquire the remaining 49% stake in its NBCUniversal joint venture with General Electric (GE) it does not already own for $16.7B. Comcast also announced it would acquire $1.4B in property assets from GE, raised its dividend, and reported Q4 results that were in-line with Street estimates. Overall option implied volatility is at 26 is above its 26-week average of 23.

General Electric is up $0.60 to $23.18 in the premarket. Overall option implied volatility of 18 is below its 26-week average of 21.

John Deere (DE) rallied to a 2 point gain pre-market, but is now off slightly, below $94. DE reported Q1 revenue of $7.42B, compared to consensus $6.72B but was not optimistic about the next quarter. 

February call option implied volatility is at 35, March is at 20, June is at 18; compared to its 26-week average of 24.

CBOE Volatility Index (VIX) closed at 12.64, below its 10-day moving average of 13.54, and its 50-day moving average of 15.06.

Calls with increasing volume at CBOE:

BAC 2/16/2013 12 26K contracts
EWJ 6/22/2013 11 15K
SE 3/16/2013 31 15K
XLF 2/16/2013 17 10K
SPY 2/16/2013 153K 10K
AAPL 2/16/2013 480 8K
BAC 3/16/2013 12 7K

S&P Futures slightly higher in the pre-market as Japan stocks rally and German stocks trade mixed.

Retail Sales rose 0.1%, off from December’s 0.5% gain. Core Sales (X-Autos) slightly lower than the consensus.

MRK off slightly on currency warning.

February VIX Settlement to be reported shortly.