Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Macy’s (M) is recently up $1.28 to $39.80 after Q4 adjusted earnings and 2013 guidance came in better than expected. March call option implied volatility is at 27, April and May is at 26; compared to its 26-week average of 28.

Cracker Barrel Old Country Store (CBRL) is recently up $6.20 to $73.07 after the restaurant chain reported Q2 income increased 37%. March call option implied volatility is at 26, April is at 21, June is at 20; compared to its 26-week average of 24.

AMC Networks (AMCX) is recently down $3.86 to $54.21 after the cable channel operator reported less than expected Q4 earnings and revenue. March and April call option implied volatility is at 29, June is at 27; compared to its 26-week average of 38.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 4.55 to 1215.25, below its 10-day moving average of 1229.063 www.cboe.com/BXY

Active options at CBOE: AAPL C HD BAC FSLR GOOG NFLX ZNGA AMZN.

CBOE Volatility Index (VIX) is recently down 1.79 to 17.20. VIX March 20 and 25 calls are active on total option volume of 876K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $2.72 to $674.42 as Federal Reserve Chairman Ben Bernanke defended the Fed’s bond-buying stimulus before congress.