Blogging Options: CBOE Morning Update

Stock Mover’s
 
NetApp (NTAP) is recently down 13.7% in pre-open trading following less than results and guidance. Overall option implied volatility of 65 is above its six-month average of 37.

JDSU (JDSU) is recently down 2.6% in pre-open trading following the company’s weaker than expected guidance. Overall option implied volatility of 88 is above its 26-week average of 57.
 
 
Volatility as an asset class
 
SPDR Gold Trust (GLD) is recently up 1.1% in pre-open trading. Overall implied volatility at 24 is above its 26-week average of 20 as gold trades at a new record high of $1,813.
 
iShares Russell 2000 Index (IWM) is recently down 2.3% in pre-open trading on weak overseas market concerns. Overall implied volatility of 32 is above its 26-week average is 24.
 

CBOE significant put volume increases
 
WFC 10/22/2011 23 11K contracts
QCOM 1/21/2012 50 10K
WFC 9/17/2011 24 10K
KFT 9/17/2011 34 8K
MMI 10/22/2011 24 7K
ABT 9/17/2011 50 5K
GE 8/20/2011 16 5K
LINTA 10/22/2011 16 5K
LEAP 1/19/2013 10 4K

CPI + 0.5%, Core up 0.2%

Asian stocks closed off ~ 1%, European stock retreat 3% to 4%

S&P Futures lower, choppy opening