Blogging Options: CBOE Mid-Day Update

Volatility as an asset class

Facebook (FB), Alliance Data Systems (ADS) and Mohawk Industries (MHK) join the S&P 500 after the market close on December 20, replacing Teradyne (TER), Abercrombie & Fitch (ANF) and JDSU (JDSU). Option implied volatility levels for these stocks:

Facebook December call option implied volatility is at 34, January is at 36, February is at 46; compared to its 26-week average of 40.

Alliance Data Systems December call option implied volatility is at 24, January is at 22, March is at 21; compared to its 26-week average of 23.

Mohawk Industries December call option implied volatility is at 27, January is at 26, February is at 28; compared to its 26-week average of 32.

Teradyne December call option implied volatility is at 35, January is at 37, April is at 44; compared to its 26-week average of 32.

Abercrombie & Fitch December call option implied volatility is at 36, January is at 37, February is at 44; compared to its 26-week average of 43.

JDSU December call option implied volatility is at 34, January is at 33, February is at 38; compared to its 26-week average of 42.

Options with increasing volume @ CBOE:  SUNE BSX FSLR GDP VOD

CBOE DJIA BuyWrite Index (BXD) is down $1.20 to 248.40 above its 50-day moving average of 246.80: www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is up $0.47 to 15.89. VIX December 15 calls and puts are active on ~183K contracts at CBOE.

CBOE $VIX futures Dec @ 15.44, Jan @ 15.55, March @ 16.95 June @ 18.32 Aug @ 19.06 http://cfe.cboe.com/

iPath S&P 500 VIX Short-Term Futures (VXX) are down 25c to 47.36.

S&P 100 Options (OEX) is down $3.84 to $792.44 on traders and investors concerned about timing of “Taper”.