Blogging Options: CBOE Morning Update

Stock Mover’s
 
Dominion (D) September put option implied volatility is at 34, October is at 37; above its 26-week average of 18 following its North Anna Nuclear Plant losing offsite power after a 5.9 magnitude earth quake. 
 
BHP Billiton (BHP) is recently down 1.1% in pre-open trading following the release of FY results and an increase in its dividend. Overall option implied volatility of 44 is above its 26-week average.
 

Volatility as an asset class
 
Bank of America-BAC overall option implied volatility of 69 is above its 26-week average of 39 as shares trade near a 27-month low.
 
Apple-AAPL overall option implied volatility of 40 is above its 26-week average of 31.
 
Netflix-NFLX overall option implied volatility of 62 is above its 26-week average of 49.
 
 
CBOE significant call volume increases
 
BAC 1/21/2012 10 22K contracts
3 C 3/17/2012 40 21K
 

CBOE significant put volume increases
 
BAC 1/21/2012 10 20K contracts
X 1/21/2012 25 8K
XOM 10/22/2011 90 7K

 

July Durable Goods Orders +4.0% – a surprise, estimates were in the +2% range

X-Transportation +0.7%

June Durables was revised to a drop of 1.4% from a drop of 1.9%

US Futures halved pre-market losses on Durable report.