Good volume this morning as we inch towards January Expiration. ~14 million option contracts trade mid day with ~3.8mm at CBOE. VIX active with 600k options trading. INTC leads equity option volume with 320 k and AAPL with 280k.
Volatility as an asset class
UPS (UPS) is down $1.40 to $99.12 after pre-announcing its results were hurt by an “unprecedented” level of online shopping as a result of last minute orders. UPS stated that it had to take “extraordinary measures” that included the deployment of additional equipment and people. February call option implied volatility is at 14, April is at 13, July is at 12; compared to its 26-week average of 15.
Elizabeth Arden (RDEN) is down $5.22 to $29.27 after the beauty supplies company warned of lower sales a weak holiday season. February and March call option implied volatility is at 54, June is at 42; compared to its 26-week average of 37.
Con-way (CNW) is down $1.22 to $40.19 after the provider of transportation and supply chain management services pre-announced weaker than expected results. February call option implied volatility is at 41, June is at 33; compared to its 26-week average of 33.
Active options at CBOE: C AAPL TSLA TWTR ARNA BAC ABX ARNA AA AMZN VIX INTC AAPL
CBOE DJIA Volatility Index (VXD) down 0.35 to 11.89, below its 10-day moving average of 12.08. cboe.com/VXD
CBOE Volatility Index (VIX) is back to unchanged after dropping 0.48 early in the session. VIX January 14 & 16 calls are active at CBOE on over 568K contracts trading. (note: VIX Expiration is next Wed, Jan 22).
iPath S&P 500 VIX Short-Term Futures (VXX) are down 28c to 40.70.
S&P 100 Options (OEX) is down 1.94 to $819.38 on mixed earnings reports and benign domestic economic data.