Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Macy’s (M) reports August SSS up 5%. Overall option implied volatility of 43 is above its 26-week average of 37.
 
Dillard’s (DDS) reports August SSS up 4%. Overall option implied volatility of 55 is above its 26-week average of 47.
 
Costco (COST) reports August total SSS up 11%. Overall option implied volatility of 27 is above its 26-week average of 23.
 
Gap (GPS) reports August SSS down 6%. Overall option implied volatility of 41 is above its 26-week average of 32.
 
 

CBOE significant call volume increases
 
DG 10/22/2011 40 21K contracts
YRCW 10/22/2011 0.5 8K
TBT 12/17/2011 30 7K
BAC 1/21/2012 12.5 6K
BBBB 10/22/2011 44 6K
S 9/17/2011 4 5K
T 9/17/2011 29 5K
GLD 9/30/2011 191 5K

Q2 Productivity revised lower, Futures off slightly.