Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Costco (COST) is recently down 10c to $102.47 after reporting February U.S. SSS up 6%, February International SSS up 4% and total company SSS up 6%. March call option implied volatility is at 24, April is at 16, July is at 15; compared to its 26-week average of 19.

Time Warner (TWX) is recently up 86c to $56.32 after company said it would spin off Time Inc. into a separate publicly traded company by the end of the year. April call option implied volatility is at 18, July is at 19; compared to its 26-week average of 21.

Gap (GPS) is recently up $1.09 to $35.55 after posting a 3% rise in February same store sales, when 2% was expected. March and April call option implied volatility is at 25, June is at 26; compared to it 26-week average of 32.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $2.15 to 1255.55, above its 50-day moving average of 1217. www.cboe.com/BXY

Active options at CBOE: AAPL BAC C DELL PBR STZ GOOG NFLX HPQ P.

CBOE Volatility Index (VIX) is recently up 37c to 13.16. VIX March 15 and 16 calls are active on total option volume of 115K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $1.50 to $695.66 for the fifth-day on data that pointed to an improving labor market.