Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Carnival Corp (CCL) is recently down 70c to $35.02 after lowering its 2013 profit view. April put option implied volatility is at 22, July is at 24; compared to its 26-week average of 26.

DirecTV (DTV) is recently up $3.15 to $55.76 after saying it is dropping out of the auction to buy Vivendi SA’s GVT, a Brazilian telecom operator. April call option implied volatility is at 20, June is at 21; below its 26-week average of 23.

Boeing volatility at historic lows as shares approach 5-year high
Boeing (BA) is recently up $1.63 to $86.26 as shares trade near a five-year high. Overall option implied volatility of 19 is below its 26-week average of 23.

CBOE and C2 Plan to launch mini-options on March 18 for AAPL, AMZN, GOOG, GLD and SPY
•Mini-options contracts represent 10 shares of the underlying security versus 100 shares for standard-sized options contracts.

Mini-options contracts trade symbol’s carry the number “7” at the end of the security symbol. For example, the Apple mini-options symbol is AAPL7.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently at 1268.14, above its 50-day moving average of 1226.51.


CBOE Volatility Index (VIX) is recently up 6c to 11.36. VIX April 17 and 23 calls are active on total option volume of 2196K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $1.14 to $701.60 after the Federal Reserved announced another round of stress tests results for U.S. banks resulting in a selloff of JPMorgan (JPM) and Goldman Sachs (GS).