Volatility as an asset class
Abercrombie & Fitch (ANF) is recently down 9% after the company warned of macroeconomic uncertainty into the expected to opening of five flagship locations in FY11. September and November put option implied volatility of 55 is above its 26-week average of 43.
Blue Coat (BCSI) is recently down 24% following the company’s less than expected revenue outlook set a year ago. September put option implied volatility is at 76, October is at 69; above its 26-week average of 48.
Dell (DELL) is recently down 10% after lowering its full-year revenue target. September 15 calls and puts are active on a implied volatility of 42; above its 26-week average of 34.