Blogging Options: CBOE Morning Update

Volatility as an asset class

Heinz (HNZ) is up $12.17 to $72.55 in the premarket after Berkshire (BRK.B) and 3G purchasing the company for $72.50 per share or $28B. Overall option implied volatility of 14 is near its 26-week average of 15.

General Motors (GM) is flat at $28.77 in the premarket after reporting Q4 revenue $39.3B, consensus $39.14B. Overall option implied volatility of 34 is near its 26-week average of 34.

PepsiCo (PEP) is up $1.25 to $72.75 in the premarket after reporting Q4 revenue of $19.95B, compared to consensus $19.7B. February call option implied volatility is at 22, March is at 12, July is at 10; compared to its 26-week average of 14.

CBOE Volatility Index (VIX) closed at 12.98, below its 10-day moving average of 13.40, and its 50-day moving average of 15.

Calls with increasing volume at CBOE:

WFT 4/20/2013 14 19K contracts
LCC 6/22/2013 22 15K
PCS 2/16/2013 9 14K
SPY 2/16/2013 152 11K
GLD 5/18/2013 188 10K
DLPH 5/18/2013 40 10K
MET 2/16/2013 38 9K

SPDR S&P 500 ETF Trust (SPY) is down 40c to 151.75 in the premarket as global equities trade lower. Weekly Claims a little better than expected. February Options Expiration tomorrow.