CBOE Blogging Options: Morning Update

Volatility as an asset class:

Temple-Inland (TIN) overall volatility collapsed to 26 from 38 following International Paper (IP) proposal on June 6th to acquire TIN for $30.60 in cash. TIN’s six-month average volatility is 41, suggesting current I.V. will result in less price movement.

Stock Mover’s:

Ciena (CIEN) is recently down 13% in pre-open trading following the release of a Q2 EPS of (24) compared to consensus estimates of (11c). June put option implied volatility is at 67, July is at 48; compared to its 26-week average of 43.

Toyota (TM) is scheduled to release its earnings forecast for this fiscal year on June 10. June and July put option implied volatility is at 23 October is at 27; compared to its 26-week average of 23, suggesting non-directional price movement.

CBOE significant put volume increases:

C June 38 calls 6K contracts
CSCO July 16 5K
M August 31 5K
AMRN September 19 4K