Blogging Options: CBOE Morning Update

Stock Mover’s:
 
DryShips (DRYS) is recently up 29c to $4.13 in pre-open trading following an upgrade to Buy from Neutral at Goldman Sachs. Overall option implied volatility of 50 is below its 26-week average of 56.

Volatility as an asset class:
 
J.M. Smucker (SJM) June put option implied volatility is at 31, July is at 24, October is at 22; above its six-month average of 20, suggesting larger near term price movement into the expected release Q4 results on June 9.
 
iPath S&P 500 VIX Mid-Term Futures Index ETN (VXZ) overall option implied volatility of 27 is below its 26-week average of 38 according to Track Data, suggesting decreasing price movement.
 
iPath S&P 500 VIX Short-Term Futures (VXX) overall option implied volatility of 66 is near its 26-week average of 67, suggesting non-directional price movement.

CBOE significant call volume increases:
 
S June 6 13K contracts
BAC January 2013 10 10K
BRCD July 8 8K
F March 2012 14 6K
AAPL June 350 6K
 

CBOE significant put volume increases:
 
BAC January 2013 10 10K contracts
MSFT January 2013 22.5 5K
RGEN November 2.5 5K
GLD July 147 4K