Blogging Options: CBOE Morning Update 9/2

Stock Mover’s
 
Netflix (NFLX) is recently down 9.2% in pre-open trading on Liberty Starz (LSTZA) ending contract renewal negotiations with Netflix. Overall option implied volatility of 51 is near its 26-week average of 49.
 
Campbell Soup (CPB) is recently up 5.1% in pre-open trading into Q4 adjusted EPS of 43c on revenue $1.607B. CPB sees FY12 sales growth of 0%-2%. Overall option implied volatility of 21 is above its 26-week average of 18.
 

Volatility as an asset class
 
CME Group (CME) announced August volume averaged an all-time record 17.1M contracts per day, up 46% from August 2010. CME overall option implied volatility of 35 is above its 26-week average of 29.
 
 
CBOE significant call volume increases
 
GE 9/17/2011 17 11K contracts
DISH 1/19/2013 40 9K
IRWD 2/18/2012 17.5 9K
X 10/22/2011 33 6K
PBR 10/22/2011 29 5K
BAC 9/2/2011 8 4K
HRBN 12/17/2011 20 4K
YRCW 10/22/2011 0.5 4K
ALU 12/17/2011 6 4K

 

Payrolls add Zero (Santelli hit it on the head again). 

First time 0% since Feb of 1945

Unemployment Rate 9.1%

Verizon 45k strikers skew numbers slightly

Futures off on disappointing news