Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Cisco (CSCO) is recently down 30c to $20.84 on concerns gross margins will be weakening in 2013. March, April and May call option implied volatility of 21 is below its 26-week average of 27.

Weight Watchers International (WTW) is recently down $8.62 to $45.49 after projecting lower than expected 2013 results. March, April and July call option implied volatility of 34 is below its 26-week average of 44.

Applied Materials (AMAT) is recently down 4c to $13.73 on better guidance, improved margins, and unique operating leverage. The firm also noted an improved silicon order book across the industry which bodes well for all semi-equipment companies for the March quarter. March, April and July option implied volatility of 21 is below its 26-week average of 28.

Whole Foods (WFM) is recently down $9.40 to $87.42 after the company projected weak sales and margins for 2013. March call option implied volatility is at 21, May is at 22, August is at 23; compared to its 26-week average of 31.

Active volume at CBOE: STZ AAPL CTL ABX C GS NFLX CLF BP.

CBOE S&P 500 BuyWrite Index (BXM) +26c to 927.22, above 10-day MA of 926.18 and 50-day at 913.46. www.cboe.com/BXM

CBOE Volatility Index (VIX) is recently down 15c to 12.83. March 18 and 23 calls are active on total volume of 376K contracts @ CBOE.

S&P 100 Options (OEX) is recently up 10c to 683.90 after from Europe showed that the economy in the euro zone shrank by more than expected in the fourth quarter of 2012.