Blogging Options: CBOE Morning Update 6/20

Stock Mover’s:
Agrium (AGU) is recently up 4% in pre-open trading. AGU raised Q2 EPS guidance due to strong retail performance and increasing nutrient pricing supported by continued strong crop fundamentals. Overall option implied volatility of 36 is near its six-month average of 35.
Volatility as an asset class:
Jabil Circuit (JBL)is trading near its six-month low with overall option implied volatility of 49 above its 26-week average of 43 into the release of Q3 results on June 21.

CBOE S&P 500 Skew Index (SKEW) at 122.65 near 10-day MA of 119.54
CBOE S&P 500 Skew Index (SKEW) closed at 122.65. When out-of-the money puts are purchased for downside protection, the SKEW is designed to increase. Skew represents the inequality of the distribution or to the extent to which one tail is longer than the other tail.
CBOE Put/Call Ratio 1.19. The average daily ratio was 0.54 over the last 5-month period.

CBOE significant call volume increases
UAL July 22 13K contracts
PFE March 2012 23 11K Editors Note:

AAPL June320 10K Go to for more info on the Skew Index mentioned above.
RIMM June 27.5 9K

CSCO June 15 8K 
GLD June 150 7K 
GM July 30 6K